Estimating Number of Factors by Adjusted Eigenvalues Thresholding

2020 
Determining the number of common factors is an important and practical topic in high-dimensional factor models. The existing literature is mainly based on the eigenvalues of the covariance matrix. ...
    • Correction
    • Source
    • Cite
    • Save
    • Machine Reading By IdeaReader
    33
    References
    16
    Citations
    NaN
    KQI
    []