Projected estimation for large-dimensional matrix factor models

In this study, we propose a projection estimation method for large-dimensional matrix factor models with cross-sectionally spiked eigenvalues. By projecting the observation matrix onto the row or column factor space, we simplify factor analysis for matrix series to that of a lower-dimensional tensor...

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Bibliographic Details
Published in:	Journal of econometrics Vol. 229; no. 1; pp. 201 - 217
Main Authors:	Yu, Long, He, Yong, Kong, Xinbing, Zhang, Xinsheng
Format:	Journal Article
Language:	English
Published:	Amsterdam Elsevier B.V 01.07.2022 Elsevier Sequoia S.A
Subjects:	Asymptotic methods Column covariance matrix Convergence Economic factors Eigenvalues Estimating techniques Estimation Factor analysis Finance Grammatical aspect Macroeconomics Matrices Matrix Matrix factor model Noise Numerical analysis Row covariance matrix Signal to noise ratio Vector factor model C33 C55 C23 Column covariance matrix C38 Vector factor model Row covariance matrix Matrix factor model
ISSN:	0304-4076, 1872-6895
Online Access:	Get full text
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