Tuesday, May 5, 2015

 

 



Soy un nuevo usuario

Olvidé mi contraseña

Entrada usuarios

Lógica Matemáticas Astronomía y Astrofísica Física Química Ciencias de la Vida
Ciencias de la Tierra y Espacio Ciencias Agrarias Ciencias Médicas Ciencias Tecnológicas Antropología Demografía
Ciencias Económicas Geografía Historia Ciencias Jurídicas y Derecho Lingüística Pedagogía
Ciencia Política Psicología Artes y Letras Sociología Ética Filosofía


Statistical analysis of factor models of high dimension

1) La descarga del recurso depende de la página de origen
2) Para poder descargar el recurso, es necesario ser usuario
    registrado en Universia


  Descargar recurso   Descargar recurso

Detalles del recurso

Pertenece a: Project Euclid (Hosted at Cornell University Library)  

Descripción: This paper considers the maximum likelihood estimation of factor models of high dimension, where the number of variables (N) is comparable with or even greater than the number of observations (T). An inferential theory is developed. We establish not only consistency but also the rate of convergence and the limiting distributions. Five different sets of identification conditions are considered. We show that the distributions of the MLE estimators depend on the identification restrictions. Unlike the principal components approach, the maximum likelihood estimator explicitly allows heteroskedasticities, which are jointly estimated with other parameters. Efficiency of MLE relative to the principal components method is also considered.

Autor(es): Bai, Jushan -  Li, Kunpeng - 

Id.: 55202789

Idioma: English  - 

Versión: 1.0

Estado: Final

Tipo:  application/pdf - 

Palabras claveHigh -  dimensional factor models - 

Tipo de recurso: Text  - 

Tipo de Interactividad: Expositivo

Nivel de Interactividad: muy bajo

Audiencia: Estudiante  -  Profesor  -  Autor  - 

Estructura: Atomic

Coste: no

Copyright: sí

: Copyright 2012 Institute of Mathematical Statistics

Formatos:  application/pdf - 

Requerimientos técnicos:  Browser: Any - 

Relación: [References] 0090-5364

Fecha de contribución: 15-may-2012

Contacto:

Localización:
* doi:10.1214/11-AOS966


Otros recursos del mismo autor(es)

  1. Multiple structural change models:a simulation analysis In a reccnt paper. Bai and Perron (1998) considcrccl theoretical issues relatec\ lo lhe limiting dis...
  2. Whole-genome screening identifies proteins localized to distinct nuclear bodies
  3. Association of apolipoprotein E polymorphism with maximal oxygen uptake after exercise training: a study of Chinese young adult
  4. Theory and methods of panel data models with interactive effects This paper considers the maximum likelihood estimation of panel data models with interactive effects...
  5. MPRA Munich Personal RePEc Archive Likelihood approach to dynamic panel models This paper considers dynamic panel models with a factor error structure that is correlated with the ...

Otros recursos de la misma colección

  1. Correction
  2. Bias correction in multivariate extremes The estimation of the extremal dependence structure is spoiled by the impact of the bias, which incr...
  3. Asymptotically distribution-free goodness-of-fit testing for tail copulas Let $(X_{1},Y_{1}),\ldots,(X_{n},Y_{n})$ be an i.i.d. sample from a bivariate distribution function ...
  4. Testing for pure-jump processes for high-frequency data Pure-jump processes have been increasingly popular in modeling high-frequency financial data, partia...
  5. The geometry of kernelized spectral clustering Clustering of data sets is a standard problem in many areas of science and engineering. The method o...

Valoración de los usuarios

No hay ninguna valoración para este recurso.Sea el primero en valorar este recurso.
 

Busque un recurso