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A robust method for estimating the number of factors in an approximate factor model
Higor Cotta 1, 2
Author Employer institution : Federal University of Espirito Santo
Valderio A. Reisen 3, 1
Author Employer institution : Federal University of Espírito Santo
Pascal Bondon 2
Mail :
Author IdHAL : pascal-bondon ORCID : https://orcid.org/0000-0002-5158-7337
1
UFES - Universidade Federal do Espírito Santo (Av. Fernando Ferrari, 514 - Goiabeiras, Vitória - ES, 29075-910, Brésil - Brazil)
2
L2S - Laboratoire des signaux et systèmes (Plateau de Moulon 3 rue Joliot Curie 91192 GIF SUR YVETTE CEDEX - France)
- CNRS - Centre National de la Recherche Scientifique (France)
- CentraleSupélec (3, rue Joliot Curie, Plateau de Moulon, 91192 GIF-SUR-YVETTE Cedex - France)
- UP11 - Université Paris-Sud - Paris 11 (Bâtiment 300 - 91405 Orsay cedex - France)
3
CentraleSupélec (3, rue Joliot Curie,
Plateau de Moulon,
91192 GIF-SUR-YVETTE Cedex - France)
Document type :
Conference papers
Complete list of metadatas
https://hal-centralesupelec.archives-ouvertes.fr/hal-02358699
Contributor : Pascal Bondon <>
Submitted on : Tuesday, November 12, 2019 - 9:55:28 AM
Last modification on : Sunday, March 8, 2020 - 7:39:11 PM
Contributor : Pascal Bondon <>
Submitted on : Tuesday, November 12, 2019 - 9:55:28 AM
Last modification on : Sunday, March 8, 2020 - 7:39:11 PM
Identifiers
- HAL Id : hal-02358699, version 1
Collections
CENTRALESUPELEC | SUP_LSS | SUP_SIGNAUX | CNRS | L2S | UNIV-PARIS-SACLAY
Citation
Higor Cotta, Valderio Reisen, Pascal Bondon. A robust method for estimating the number of factors in an approximate factor model. International Work-Conference on Time Series, Sep 2019, Granada, Spain. pp.711-722. ⟨hal-02358699⟩
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