| The application of spectral distribution of product of two random matrices in the factor analysis |
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| 作者姓名： | Bai-suo JIN~ |
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| 作者单位： | Bai-suo JIN（Department of Statistics and Finance, University of Science and Technology of China, Hefei 230026, China） ;
Bai-qi MIAO（Department of Statistics and Finance, University of Science and Technology of China, Hefei 230026, China） ;
Wu-yi YE（Department of Statistics and Finance, University of Science and Technology of China, Hefei 230026, China） ;
Zhen-xiang WU（Academy of Mathematics and Systems Science, Chinese Academy of Sciences, Beijing 100080, China） ; |
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| 摘 要： | In the factor analysis model with large cross-section and time-series dimensions,we pro- pose a new method to estimate the number of factors.Specially if the idiosyncratic terms satisfy a linear time series model,the estimators of the parameters can be obtained in the time series model. The theoretical properties of the estimators are also explored.A simulation study and an empirical analysis are conducted.
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| 收稿时间： | 30 June 2006 |
The application of spectral distribution of product of two random matrices in the factor analysis |
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| Bai-suo JIN.The application of spectral distribution of product of two random matrices in the factor analysis[J].Science in China(Mathematics),2007,50(9):1303-1315. |
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| Authors: | Bai-suo Jin Bai-qi Miao Wu-yi Ye Zhen-xiang Wu |
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| Institution: | 1. Department of Statistics and Finance, University of Science and Technology of China, Hefei 230026, China
2. Academy of Mathematics and Systems Science, Chinese Academy of Sciences, Beijing 100080, China |
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| Abstract: | In the factor analysis model with large cross-section and time-series dimensions,we pro- pose a new method to estimate the number of factors.Specially if the idiosyncratic terms satisfy a linear time series model,the estimators of the parameters can be obtained in the time series model. The theoretical properties of the estimators are also explored.A simulation study and an empirical analysis are conducted. |
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| Keywords: | limiting spectral distribution product of random matrices large dimensional random matrices factor number time series |
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