most citedDouble Cross Validation for the Number of Factors in Approximate Factor Models

3 citations · 3 across the 1 of their papers we have counts for

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1 paper

stat.ME2019★ 3 cited

Double Cross Validation for the Number of Factors in Approximate Factor Models

Xianli Zeng, Yingcun Xia, Linjun Zhang

Determining the number of factors is essential to factor analysis. In this paper, we propose {an efficient cross validation (CV)} method to determine the number of factors in appro…