Tests for principal eigenvalues and eigenvectors
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arXiv
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| Hauptverfasser: | , , , |
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| Format: | Preprint |
| Veröffentlicht: |
2024
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| _version_ | 1866910443981766656 |
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| author | Fan, Jianqing Li, Yingying Xia, Ningning Zheng, Xinghua |
| author_facet | Fan, Jianqing Li, Yingying Xia, Ningning Zheng, Xinghua |
| contents | We establish central limit theorems for principal eigenvalues and eigenvectors under a large factor model setting, and develop two-sample tests of both principal eigenvalues and principal eigenvectors. One important application is to detect structural breaks in large factor models. Compared with existing methods for detecting structural breaks, our tests provide unique insights into the source of structural breaks because they can distinguish between individual principal eigenvalues and/or eigenvectors. We demonstrate the application by comparing the principal eigenvalues and principal eigenvectors of S\&P500 Index constituents' daily returns over different years. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2405_06939 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Tests for principal eigenvalues and eigenvectors Fan, Jianqing Li, Yingying Xia, Ningning Zheng, Xinghua Statistics Theory We establish central limit theorems for principal eigenvalues and eigenvectors under a large factor model setting, and develop two-sample tests of both principal eigenvalues and principal eigenvectors. One important application is to detect structural breaks in large factor models. Compared with existing methods for detecting structural breaks, our tests provide unique insights into the source of structural breaks because they can distinguish between individual principal eigenvalues and/or eigenvectors. We demonstrate the application by comparing the principal eigenvalues and principal eigenvectors of S\&P500 Index constituents' daily returns over different years. |
| title | Tests for principal eigenvalues and eigenvectors |
| topic | Statistics Theory |
| url | https://arxiv.org/abs/2405.06939 |