2 papers
math.ST2024
Sub-Gaussian High-Dimensional Covariance Matrix Estimation under Elliptical Factor Model with 2 + εth Moment
Yi Ding, Xinghua Zheng
We study the estimation of high-dimensional covariance matrices under elliptical factor models with 2 + εth moment. For such heavy-tailed data, robust estimators like the Huber-typ…
math.ST2024
Tests for principal eigenvalues and eigenvectors
Jianqing Fan, Yingying Li, Ningning Xia +1
We establish central limit theorems for principal eigenvalues and eigenvectors under a large factor model setting, and develop two-sample tests of both principal eigenvalues and pr…