Robust factor number specification for large-dimensional elliptical factor model

Robust factor number specification for large-dimensional elliptical factor model

10.1016/j.jmva.2019.104543

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Bibliographic Details
Main Authors: Yu, Long, He, Yong, Zhang, Xinsheng
Other Authors: CIVIL AND ENVIRONMENTAL ENGINEERING
Format: Article
Language:English
Published: ELSEVIER INC 2021
Subjects:
Science & Technology
Physical Sciences
Statistics & Probability
Mathematics
Elliptical factor model
Factor number
Multivariate Kendall's tau matrix
COMMON FACTORS
RATIO TEST
PANEL
Online Access:https://scholarbank.nus.edu.sg/handle/10635/191967
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Institution: National University of Singapore
Language: English

Internet

https://scholarbank.nus.edu.sg/handle/10635/191967

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