Fixed-order PCA: Theory for Overestimated Factor Models
Fuente:
arXiv
Saved in:
| Main Authors: | Liao, Yuan, Tong, Xin, Wang, Wanjie, Xiu, Dacheng |
|---|---|
| Format: | Preprint |
| Published: |
2026
|
| Subjects: | |
| Online Access: | |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
Similar Items
Tensor PCA for Factor Models
by: Babii, Andrii, et al.
Published: (2022)
by: Babii, Andrii, et al.
Published: (2022)
Driver Identification and PCA Augmented Selection Shrinkage Framework for Nordic System Price Forecasting
by: Sadabad, Yousef Adeli, et al.
Published: (2025)
by: Sadabad, Yousef Adeli, et al.
Published: (2025)
Semiparametric Conditional Factor Models in Asset Pricing
by: Chen, Qihui, et al.
Published: (2021)
by: Chen, Qihui, et al.
Published: (2021)
The Canonical Decomposition of Factor Models: Weak Factors are Everywhere
by: Gersing, Philipp, et al.
Published: (2023)
by: Gersing, Philipp, et al.
Published: (2023)
High Dimensional Factor Analysis with Weak Factors
by: Choi, Jungjun, et al.
Published: (2024)
by: Choi, Jungjun, et al.
Published: (2024)
The Fixed-b Limiting Distribution and the ERP of HAR Tests Under Nonstationarity
by: Casini, Alessandro
Published: (2021)
by: Casini, Alessandro
Published: (2021)
Large-dimensional Factor Analysis with Weighted PCA
by: Lyu, Zhongyuan, et al.
Published: (2025)
by: Lyu, Zhongyuan, et al.
Published: (2025)
Factor Models of Matrix-Valued Time Series: Nonstationarity and Cointegration
by: Li, Degui, et al.
Published: (2025)
by: Li, Degui, et al.
Published: (2025)
The Spurious Factor Dilemma: Robust Inference in Heavy-Tailed Elliptical Factor Models
by: Hu, Jiang, et al.
Published: (2025)
by: Hu, Jiang, et al.
Published: (2025)
Theory of Evolutionary Spectra for Heteroskedasticity and Autocorrelation Robust Inference in Possibly Misspecified and Nonstationary Models
by: Casini, Alessandro
Published: (2021)
by: Casini, Alessandro
Published: (2021)
Quasi Maximum Likelihood Estimation of High-Dimensional Factor Models: A Critical Review
by: Barigozzi, Matteo
Published: (2023)
by: Barigozzi, Matteo
Published: (2023)
Identification and Statistical Decision Theory
by: Manski, Charles F.
Published: (2022)
by: Manski, Charles F.
Published: (2022)
Quasi Maximum Likelihood Estimation and Inference of Large Approximate Dynamic Factor Models via the EM algorithm
by: Barigozzi, Matteo, et al.
Published: (2019)
by: Barigozzi, Matteo, et al.
Published: (2019)
Convolution-t Distributions
by: Hansen, Peter Reinhard, et al.
Published: (2024)
by: Hansen, Peter Reinhard, et al.
Published: (2024)
Estimation and Inference for CP Tensor Factor Models
by: Chen, Bin, et al.
Published: (2024)
by: Chen, Bin, et al.
Published: (2024)
Theory of Low Frequency Contamination from Nonstationarity and Misspecification: Consequences for HAR Inference
by: Casini, Alessandro, et al.
Published: (2021)
by: Casini, Alessandro, et al.
Published: (2021)
Modewise Additive Factor Model for Matrix Time Series
by: Chen, Elynn, et al.
Published: (2025)
by: Chen, Elynn, et al.
Published: (2025)
Beyond the Mean: Limit Theory and Tests for Infinite-Mean Autoregressive Conditional Durations
by: Cavaliere, Giuseppe, et al.
Published: (2025)
by: Cavaliere, Giuseppe, et al.
Published: (2025)
On the Realized Joint Laplace Transform of Volatilities with Application to Test the Volatility Dependence
by: Feng, XinWei, et al.
Published: (2025)
by: Feng, XinWei, et al.
Published: (2025)
Higher-order Gini indices: An axiomatic approach
by: Han, Xia, et al.
Published: (2025)
by: Han, Xia, et al.
Published: (2025)
On Asymptotic Optimality of Least Squares Model Averaging When True Model Is Included
by: Xu, Wenchao, et al.
Published: (2024)
by: Xu, Wenchao, et al.
Published: (2024)
Higher-order Refinements of Small Bandwidth Asymptotics for Density-Weighted Average Derivative Estimators
by: Cattaneo, Matias D., et al.
Published: (2022)
by: Cattaneo, Matias D., et al.
Published: (2022)
Normal Approximation in Large Network Models
by: Leung, Michael P., et al.
Published: (2019)
by: Leung, Michael P., et al.
Published: (2019)
Covariate Adjustment in Randomized Experiments Motivated by Higher-Order Influence Functions
by: Zhao, Sihui, et al.
Published: (2024)
by: Zhao, Sihui, et al.
Published: (2024)
Universal Inference for Incomplete Discrete Choice Models
by: Kaido, Hiroaki, et al.
Published: (2025)
by: Kaido, Hiroaki, et al.
Published: (2025)
Generalized Autoregressive Multivariate Models: From Binary to Poisson
by: Bykhovskaya, Anna, et al.
Published: (2026)
by: Bykhovskaya, Anna, et al.
Published: (2026)
Higher-Order Neyman Orthogonality in Moment-Condition Models
by: Bonhomme, Stéphane, et al.
Published: (2026)
by: Bonhomme, Stéphane, et al.
Published: (2026)
An Identification and Dimensionality Robust Test for Instrumental Variables Models
by: Navjeevan, Manu
Published: (2023)
by: Navjeevan, Manu
Published: (2023)
Robust Priors in Nonlinear Panel Models with Individual and Time Effects
by: Yan, Zizhong, et al.
Published: (2026)
by: Yan, Zizhong, et al.
Published: (2026)
Penalized Likelihood for Dyadic Network Formation Models with Degree Heterogeneity
by: Yan, Zizhong, et al.
Published: (2026)
by: Yan, Zizhong, et al.
Published: (2026)
Bubble Modeling and Tagging: A Stochastic Nonlinear Autoregression Approach
by: Yang, Xuanling, et al.
Published: (2024)
by: Yang, Xuanling, et al.
Published: (2024)
Local Identification in Instrumental Variable Multivariate Quantile Regression Models
by: Kono, Haruki
Published: (2024)
by: Kono, Haruki
Published: (2024)
Residual Balancing for Non-Linear Outcome Models in High Dimensions
by: Meza, Isaac
Published: (2025)
by: Meza, Isaac
Published: (2025)
Locally Regular and Efficient Tests in Non-Regular Semiparametric Models
by: Lee, Adam
Published: (2024)
by: Lee, Adam
Published: (2024)
Weak Identification with Bounds in a Class of Minimum Distance Models
by: Cox, Gregory Fletcher
Published: (2020)
by: Cox, Gregory Fletcher
Published: (2020)
Local Polynomial Estimation of Time-Varying Parameters in Nonlinear Models
by: Kristensen, Dennis, et al.
Published: (2019)
by: Kristensen, Dennis, et al.
Published: (2019)
Estimation of a Dynamic Tobit Model with a Unit Root
by: Bykhovskaya, Anna, et al.
Published: (2025)
by: Bykhovskaya, Anna, et al.
Published: (2025)
Asymptotic Properties of the Maximum Likelihood Estimator for Markov-switching Observation-driven Models
by: Krabbe, Frederik
Published: (2024)
by: Krabbe, Frederik
Published: (2024)
Parametrization, Prior Independence, and the Semiparametric Bernstein-von Mises Theorem for the Partially Linear Model
by: Walker, Christopher D.
Published: (2023)
by: Walker, Christopher D.
Published: (2023)
Inference on effect size after multiple hypothesis testing
by: Dzemski, Andreas, et al.
Published: (2025)
by: Dzemski, Andreas, et al.
Published: (2025)
Similar Items
-
Tensor PCA for Factor Models
by: Babii, Andrii, et al.
Published: (2022) -
Driver Identification and PCA Augmented Selection Shrinkage Framework for Nordic System Price Forecasting
by: Sadabad, Yousef Adeli, et al.
Published: (2025) -
Semiparametric Conditional Factor Models in Asset Pricing
by: Chen, Qihui, et al.
Published: (2021) -
The Canonical Decomposition of Factor Models: Weak Factors are Everywhere
by: Gersing, Philipp, et al.
Published: (2023) -
High Dimensional Factor Analysis with Weak Factors
by: Choi, Jungjun, et al.
Published: (2024)