Bystrov, Victor and di Salvatore, Antonietta (2012): Martingale approximation for common factor representation.
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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.
|Item Type:||MPRA Paper|
|Original Title:||Martingale approximation for common factor representation|
|Keywords:||martingale approximation, dynamic factor model, eigenvalue, stability|
|Subjects:||C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C10 - General
C - Mathematical and Quantitative Methods > C3 - Multiple or Simultaneous Equation Models; Multiple Variables > C32 - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
|Depositing User:||Victor Bystrov|
|Date Deposited:||05. Jul 2012 11:14|
|Last Modified:||19. Feb 2013 14:10|
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Martingale approximation for common factor representation. (deposited 26. Mar 2012 23:00)
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