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Simultaneous Inference for High-Dimensional Approximate Factor Model
This paper studies simultaneous inference for factor loadings in the approximate factor model. We propose a test statistic based on the maximum discrepancy measure. Taking advantage of the fact that the test statistic can be approximated by the sum of the independent random variables, we develop a m...
| Autores principales: | , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
MDPI
2020
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| Materias: | |
| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7712464/ https://www.ncbi.nlm.nih.gov/pubmed/33287026 http://dx.doi.org/10.3390/e22111258 |