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Martingale approximation for common factor representation

Bystrov, Victor and di Salvatore, Antonietta (2012): Martingale approximation for common factor representation.

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Abstract

In this paper a martingale approximation is used to derive the limiting distribution of simple positive eigenvalues of the sample covariance matrix for a stationary linear process. The derived distribution can be used to study stability of the common factor representation based on the principal component analysis of the covariance matrix.

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