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A robust method for estimating the number of factors in an approximate factor model

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Statistics [stat] Statistics Theory [stat.TH] Engineering Sciences [physics] Signal and Image processing

Pascal Bondon  : Connect in order to contact the contributor

https://hal-centralesupelec.archives-ouvertes.fr/hal-02358699

Submitted on : Tuesday, November 12, 2019-9:55:28 AM

Last modification on : Monday, October 17, 2022-1:40:03 PM

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hal-02358699 , version 1 (12-11-2019)

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  • HAL Id : hal-02358699 , version 1

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Higor Cotta, Valderio A. 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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CNRS SUP_LSS SUP_SIGNAUX CENTRALESUPELEC UNIV-PARIS-SACLAY GS-ENGINEERING GS-COMPUTER-SCIENCE
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