Statistical analysis of factor models of high dimension

Annals of Statistics

Volumn 40, Issue 1, 2012, Pages 436-465

  Bai, Jushan ^a   Li, Kunpeng ^b,c  

^a Och Spine at New York Presbyterian Hospitals   (United States)

^b Tsinghua University   (China)

^c UNIVERSITY OF INTERNATIONAL BUSINESS AND ECONOMICS   (China)

Author keywords

Factor loadings; Factors; High dimensional factor models; Idiosyncratic variances; Maximum likelihood estimation; Principal components

Indexed keywords

EID: 84871198733     PISSN: 00905364     EISSN: None     Source Type: Journal    
DOI: 10.1214/11-AOS966     Document Type: Article

References (25)

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