most citedHuber Principal Component Analysis for Large-dimensional Factor Models

4 citations · 4 across the 1 of their papers we have counts for

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1 paper

stat.ME2023★ 4 cited

Huber Principal Component Analysis for Large-dimensional Factor Models

Yong He, Lingxiao Li, Dong Liu +1

Factor models have been widely used in economics and finance. However, the heavy-tailed nature of macroeconomic and financial data is often neglected in the existing literature. To…