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


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)  


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


* doi:10.1214/11-AOS966

Otros recursos del mismo autor(es)

  1. Low Expression of Polo-like Kinase 1 is Associated with Poor Prognosis in Liver Cancer Aim: To determine the expression level of polo-like kinase 1 (PLK1) in liver cancer specimens and as...
  2. Identification of a new 130 bp cis-acting element in the TsVP1 promoter involved in the salt stress response from Thellungiella halophila



    Salt stress is one of the major abiotic stresses affecting plan...

  3. Phosphate starvation of maize inhibits lateral root formation and alters gene expression in the lateral root primordium zone



    Phosphorus (P) is an essential macronutrient for all living org...

  4. MiR-373-3p Promotes Invasion and Metastasis of Lung Adenocarcinoma Cells Background and objective Lung cancer is the leading cause of cancer-related deaths worldwide, and me...
  5. Theory and methods of panel data models with interactive effects This paper considers the maximum likelihood estimation of panel data models with interactive effects...

Otros recursos de la mismacolección

  1. Interaction pursuit in high-dimensional multi-response regression via distance correlation Feature interactions can contribute to a large proportion of variation in many prediction models. In...
  2. Statistical consistency and asymptotic normality for high-dimensional robust $M$-estimators We study theoretical properties of regularized robust $M$-estimators, applicable when data are drawn...
  3. Asymptotic behaviour of the empirical Bayes posteriors associated to maximum marginal likelihood estimator We consider the asymptotic behaviour of the marginal maximum likelihood empirical Bayes posterior di...
  4. Inference on the mode of weak directional signals: A Le Cam perspective on hypothesis testing near singularities We revisit, in an original and challenging perspective, the problem of testing the null hypothesis t...
  5. Tests for high-dimensional data based on means, spatial signs and spatial ranks Tests based on mean vectors and spatial signs and ranks for a zero mean in one-sample problems and f...

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.