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
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spelling sg-nus-scholar.10635-1919672024-11-10T06:52:43Z Robust factor number specification for large-dimensional elliptical factor model Yu, Long He, Yong Zhang, Xinsheng CIVIL AND ENVIRONMENTAL ENGINEERING Mr Long Yu Science & Technology Physical Sciences Statistics & Probability Mathematics Elliptical factor model Factor number Multivariate Kendall's tau matrix COMMON FACTORS RATIO TEST PANEL 10.1016/j.jmva.2019.104543 JOURNAL OF MULTIVARIATE ANALYSIS 174 2021-06-11T01:19:05Z 2021-06-11T01:19:05Z 2019-11-01 2021-06-08T05:49:02Z Article Yu, Long, He, Yong, Zhang, Xinsheng (2019-11-01). Robust factor number specification for large-dimensional elliptical factor model. JOURNAL OF MULTIVARIATE ANALYSIS 174. ScholarBank@NUS Repository. https://doi.org/10.1016/j.jmva.2019.104543 0047-259X https://scholarbank.nus.edu.sg/handle/10635/191967 en ELSEVIER INC Elements
institution National University of Singapore
building NUS Library
continent Asia
country Singapore
Singapore
content_provider NUS Library
collection ScholarBank@NUS
language English
topic Science & Technology
Physical Sciences
Statistics & Probability
Mathematics
Elliptical factor model
Factor number
Multivariate Kendall's tau matrix
COMMON FACTORS
RATIO TEST
PANEL
spellingShingle Science & Technology
Physical Sciences
Statistics & Probability
Mathematics
Elliptical factor model
Factor number
Multivariate Kendall's tau matrix
COMMON FACTORS
RATIO TEST
PANEL
Yu, Long
He, Yong
Zhang, Xinsheng
Robust factor number specification for large-dimensional elliptical factor model
description 10.1016/j.jmva.2019.104543
author2 CIVIL AND ENVIRONMENTAL ENGINEERING
author_facet CIVIL AND ENVIRONMENTAL ENGINEERING
Yu, Long
He, Yong
Zhang, Xinsheng
format Article
author Yu, Long
He, Yong
Zhang, Xinsheng
author_sort Yu, Long
title Robust factor number specification for large-dimensional elliptical factor model
title_short Robust factor number specification for large-dimensional elliptical factor model
title_full Robust factor number specification for large-dimensional elliptical factor model
title_fullStr Robust factor number specification for large-dimensional elliptical factor model
title_full_unstemmed Robust factor number specification for large-dimensional elliptical factor model
title_sort robust factor number specification for large-dimensional elliptical factor model
publisher ELSEVIER INC
publishDate 2021
url https://scholarbank.nus.edu.sg/handle/10635/191967
_version_ 1821203339693522944

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