Embracing the Blessing of Dimensionality in Factor Models

Journal of the American Statistical Association

Volumn 113, Issue 521, 2018, Pages 380-389

  Li, Quefeng ^a   Cheng, Guang ^b   Fan, Jianqing ^c,d   Wang, Yuyan ^c  

^a University of North Carolina at Chapel Hill   (United States)

^b PURDUE UNIVERSITY   (United States)

^c Princeton University   (United States)

^d FUDAN UNIVERSITY   (China)

Author keywords

Asymptotic normality; Auxiliary data; Divide and conquer; Factor model; Fisher information; High dimensionality

Indexed keywords

EID: 85033699396     PISSN: 01621459     EISSN: 1537274X     Source Type: Journal    
DOI: 10.1080/01621459.2016.1256815     Document Type: Article

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