The application of spectral distribution of product of two random matrices in the factor analysis

doi:10.1007/s11425-007-0086-4

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	The application of spectral distribution of product of two random matrices in the factor analysis
	Jin, Bai-suo; Miao, Bai-qi; Ye, Wu-ye; Wu, Zhen-xiang
	2007-09-01
发表期刊	SCIENCE IN CHINA SERIES A-MATHEMATICS
ISSN	1006-9283
卷号	50 期号:9 页码:1303-1315
摘要	In the factor analysis model with large cross-section and time-series dimensions, we propose a new method to estimate the number of factors. Specially if the idiosyncratic terms satisfy a linear time series model, the estimators of the parameters can be obtained in the time series model. The theoretical properties of the estimators are also explored. A simulation study and an empirical analysis are conducted.
关键词	limiting spectral distribution product of random matrices large dimensional random matrices factor number time series
DOI	10.1007/s11425-007-0086-4
语种	英语
WOS研究方向	Mathematics
WOS类目	Mathematics, Applied ; Mathematics
WOS记录号	WOS:000249379200009
出版者	SCIENCE CHINA PRESS
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/4653
专题	中国科学院数学与系统科学研究院
通讯作者	Jin, Bai-suo
作者单位	Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100080, Peoples R China
推荐引用方式 GB/T 7714	Jin, Bai-suo,Miao, Bai-qi,Ye, Wu-ye,et al. The application of spectral distribution of product of two random matrices in the factor analysis[J]. SCIENCE IN CHINA SERIES A-MATHEMATICS,2007,50(9):1303-1315.
APA	Jin, Bai-suo,Miao, Bai-qi,Ye, Wu-ye,&Wu, Zhen-xiang.(2007).The application of spectral distribution of product of two random matrices in the factor analysis.SCIENCE IN CHINA SERIES A-MATHEMATICS,50(9),1303-1315.
MLA	Jin, Bai-suo,et al."The application of spectral distribution of product of two random matrices in the factor analysis".SCIENCE IN CHINA SERIES A-MATHEMATICS 50.9(2007):1303-1315.