Asymptotic equivalence of Principal Components and Quasi Maximum Likelihood estimators in Large Approximate Factor Models

Documenti analoghi

• Principal Component Analysis for High-Dimensional Approximate Factor Models in Time Series: Assumptions, Asymptotic Theory, and Identification
  di: Barigozzi, Matteo
  Pubblicazione: (2022)
• Quasi Maximum Likelihood Estimation and Inference of Large Approximate Dynamic Factor Models via the EM algorithm
  di: Barigozzi, Matteo, et al.
  Pubblicazione: (2019)
• Quasi Maximum Likelihood Estimation of High-Dimensional Factor Models: A Critical Review
  di: Barigozzi, Matteo
  Pubblicazione: (2023)
• Estimation of large approximate dynamic matrix factor models based on the EM algorithm and Kalman filtering
  di: Barigozzi, Matteo, et al.
  Pubblicazione: (2025)
• Modelling Large Dimensional Datasets with Markov Switching Factor Models
  di: Barigozzi, Matteo, et al.
  Pubblicazione: (2022)