42 citations · 65 across the 12 of their papers we have counts for
Showing 2014 · stat.MEShow all
2 papers · 2 filters
stat.ME2014★ 42 cited
Identifying the number of factors from singular values of a large sample auto-covariance matrix
Zeng Li, Qinwen Wang, Jianfeng Yao
Identifying the number of factors in a high-dimensional factor model has attracted much attention in recent years and a general solution to the problem is still lacking. A promisin…
stat.ME2014★ 5 cited
On singular value distribution of large dimensional auto-covariance matrices
Zeng Li, Guangming Pan, Jianfeng Yao
Let be a sequence of independent dimensional random vectors and a given integer. From a sample $\varepsilon_1,\cdots,\varepsilon_{T+τ-1},\v…