Robust estimation for number of factors in high dimensional factor modeling via Spearman correlation matrix

Fuente: arXiv
Guardado en:
Detalles Bibliográficos
Autores principales: Qiu, Jiaxin, Li, Zeng, Yao, Jianfeng
Formato: Preprint
Publicado: 2023
Materias:
Acceso en línea:
Etiquetas: Agregar Etiqueta
Sin Etiquetas, Sea el primero en etiquetar este registro!
_version_ 1866929476877680640
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