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


Opción 1: Descargar recurso

Opción 2: Descargar recurso

Detalles del recurso

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.

Pertenece a

Project Euclid (Hosted at Cornell University Library)  

Autor(es)

Bai, Jushan -  Li, Kunpeng - 

Id.: 55202789

Idioma: inglés  - 

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. An Inequality for Vector-Valued Martingales and its Applications* working paper
  2. Application of Vacuum Membrane Distillation in Water Treatment In the present paper, we reviewed the principles and classification of membrane distillation, with a...
  3. Estimating multiple breaks one at a time of economics
  4. Energy Flow Finite Element Analysis of L-shaped plate Including Three Types of Waves longitudinal and shear waves being taken into account, the transmission and reflection coefficients ...
  5. Structural analysis and insertion study reveal the ideal sites for surface displaying foreign peptides on a betanodavirus-like particle International audience

Otros recursos de la mismacolección

  1. Global rates of convergence in log-concave density estimation The estimation of a log-concave density on $\mathbb{R}^{d}$ represents a central problem in the area...
  2. Convergence rates of parameter estimation for some weakly identifiable finite mixtures We establish minimax lower bounds and maximum likelihood convergence rates of parameter estimation f...
  3. Sub-Gaussian mean estimators We discuss the possibilities and limitations of estimating the mean of a real-valued random variable...
  4. High-dimensional generalizations of asymmetric least squares regression and their applications Asymmetric least squares regression is an important method that has wide applications in statistics,...
  5. Faithful variable screening for high-dimensional convex regression We study the problem of variable selection in convex nonparametric regression. Under the assumption ...

Aviso de cookies: Usamos cookies propias y de terceros para mejorar nuestros servicios, para análisis estadístico y para mostrarle publicidad. Si continua navegando consideramos que acepta su uso en los términos establecidos en la Política de cookies.