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Generalized Principal Component Analysis for Large-dimensional Matrix Factor Model

https://doi.org/10.2139/ssrn.5824105
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What this work says

Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1016/j.jeconom.2017.08.015openalex-snapshot
Using principal component analysis to estimate a high dimensional factor model with high-frequency data
inferredcites →https://doi.org/10.1016/j.jeconom.2018.09.013openalex-snapshot
Factor models for matrix-valued high-dimensional time series
inferredcites →https://doi.org/10.1016/j.jeconom.2020.01.007openalex-snapshot
High-frequency factor models and regressions
inferredcites →https://doi.org/10.1016/j.jeconom.2021.04.001openalex-snapshot
Projected estimation for large-dimensional matrix factor models
inferredcites →https://doi.org/10.1016/j.spa.2020.03.003openalex-snapshot
Sequential testing for structural stability in approximate factor models
inferredcites →https://doi.org/10.1017/s0266466611000338openalex-snapshot
EFFICIENT ESTIMATION OF FACTOR MODELS
inferredcites →https://doi.org/10.1080/01621459.2017.1328359openalex-snapshot
A Randomized Sequential Procedure to Determine the Number of Factors
inferredcites →https://doi.org/10.1080/01621459.2021.1912757openalex-snapshot
Factor Models for High-Dimensional Tensor Time Series
inferredcites →https://doi.org/10.1080/01621459.2021.1970569openalex-snapshot
Statistical Inference for High-Dimensional Matrix-Variate Factor Models
inferredcites →https://doi.org/10.1080/07350015.2023.2191676openalex-snapshot
Matrix Factor Analysis: From Least Squares to Iterative Projection
inferredcites →https://doi.org/10.1093/biomet/90.1.85openalex-snapshot
Heteroscedastic factor analysis
inferredcites →https://doi.org/10.1093/jrsssb/qkac011openalex-snapshot
Modelling matrix time series via a tensor CP-decomposition
inferredcites →https://doi.org/10.1093/jrsssb/qkad077openalex-snapshot
Two-way dynamic factor models for high-dimensional matrix-valued time series
inferredcites →https://doi.org/10.1093/jrsssb/qkae001openalex-snapshot
Semi-parametric tensor factor analysis by iteratively projected singular value decomposition
inferredcites →https://doi.org/10.1111/1468-0262.00273openalex-snapshot
Determining the Number of Factors in Approximate Factor Models
inferredcites →https://doi.org/10.1111/1468-0262.00392openalex-snapshot
Inferential Theory for Factor Models of Large Dimensions
inferredcites →https://doi.org/10.1111/j.2044-8317.1996.tb01082.xopenalex-snapshot
Factor analysis with heteroscedastic errors
inferredcites →https://doi.org/10.1111/rssb.12016openalex-snapshot
Large Covariance Estimation by Thresholding Principal Orthogonal Complements
inferredcites →https://doi.org/10.1198/016214502388618960openalex-snapshot
Forecasting Using Principal Components From a Large Number of Predictors
inferredcites →https://doi.org/10.1198/jasa.2009.0101openalex-snapshot
Generalized Thresholding of Large Covariance Matrices
inferredcites →https://doi.org/10.1198/jasa.2011.tm09693openalex-snapshot
GLS Estimation of Dynamic Factor Models
inferredcites →https://doi.org/10.1214/08-aos600openalex-snapshot
Covariance regularization by thresholding
inferredcites →https://doi.org/10.1214/23-aos2350openalex-snapshot
Rank and factor loadings estimation in time series tensor factor model by pre-averaging
inferredcites →https://doi.org/10.3982/ecta6964openalex-snapshot
Testing Hypotheses About the Number of Factors in Large Factor Models
inferredcites →https://doi.org/10.3982/ecta8968openalex-snapshot
Eigenvalue Ratio Test for the Number of Factors

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inferred← citeshttps://doi.org/10.2139/ssrn.5272564openalex-snapshot
High-Dimensional Binary Variates: Maximum Likelihood Estimation with Nonstationary Covariates and Factors
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