Martingale approximation for common factor representation

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

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.

• Item Type: MPRA Paper
• Language: English
• 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 ; Diffusion Processes ; State Space Models

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