On factor models with random missing: EM estimation, inference, and cross validation

• Main Authors: SU, Liangjun, MIAO, Ke, JIN, Sainan
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2019
• Subjects: Cross-validation; Expectation-Maximization (EM) algorithm; Factor models; Matrix completion; Missing at random; Principal component analysis; Singular value decomposition; Econometrics
• Online Access: https://ink.library.smu.edu.sg/soe_research/2231; https://ink.library.smu.edu.sg/context/soe_research/article/3230/viewcontent/Factor_with_missing_values20190115_.pdf
• Institution: Singapore Management University

We consider the estimation and inference in approximate factor models with random missing values. We show that with the low rank structure of the common component, we can estimate the factors and factor loadings consistently with the missing values replaced by zeros. We establish the asymptotic dist...