Robust estimation for number of factors in high dimensional factor modeling via Spearman correlation matrix
Fuente:
arXiv
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| Autores principales: | , , |
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| Formato: | Preprint |
| Publicado: |
2023
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| Materias: | |
| Acceso en línea: | |
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| _version_ | 1866929476877680640 |
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| author | Qiu, Jiaxin Li, Zeng Yao, Jianfeng |
| author_facet | Qiu, Jiaxin Li, Zeng Yao, Jianfeng |
| contents | Determining the number of factors in high-dimensional factor modeling is essential but challenging, especially when the data are heavy-tailed. In this paper, we introduce a new estimator based on the spectral properties of Spearman sample correlation matrix under the high-dimensional setting, where both dimension and sample size tend to infinity proportionally. Our estimator is robust against heavy tails in either the common factors or idiosyncratic errors. The consistency of our estimator is established under mild conditions. Numerical experiments demonstrate the superiority of our estimator compared to existing methods. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2309_00870 |
| institution | arXiv |
| publishDate | 2023 |
| record_format | arxiv |
| spellingShingle | Robust estimation for number of factors in high dimensional factor modeling via Spearman correlation matrix Qiu, Jiaxin Li, Zeng Yao, Jianfeng Methodology Determining the number of factors in high-dimensional factor modeling is essential but challenging, especially when the data are heavy-tailed. In this paper, we introduce a new estimator based on the spectral properties of Spearman sample correlation matrix under the high-dimensional setting, where both dimension and sample size tend to infinity proportionally. Our estimator is robust against heavy tails in either the common factors or idiosyncratic errors. The consistency of our estimator is established under mild conditions. Numerical experiments demonstrate the superiority of our estimator compared to existing methods. |
| title | Robust estimation for number of factors in high dimensional factor modeling via Spearman correlation matrix |
| topic | Methodology |
| url | https://arxiv.org/abs/2309.00870 |