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most citedTesting the number of common factors by bootstrapped sample covariance matrix in high-dimensional factor models

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math.ST2021

Testing Kronecker Product Covariance Matrices for High-dimensional Matrix-Variate Data

Long Yu, Jiahui Xie, Wang Zhou

Kronecker product covariance structure provides an efficient way to modeling the inter-correlations of matrix-variate data. In this paper, we propose testing statistics for Kroneck…