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math.OC2017
Factor Models with Real Data: a Robust Estimation of the Number of Factors
Valentina Ciccone, Augusto Ferrante, Mattia Zorzi
Factor models are a very efficient way to describe high dimensional vectors of data in terms of a small number of common relevant factors. This problem, which is of fundamental imp…
math.OC2017
Factor analysis with finite data
Valentina Ciccone, Augusto Ferrante, Mattia Zorzi
Factor analysis aims to describe high dimensional random vectors by means of a small number of unknown common factors. In mathematical terms, it is required to decompose the covari…