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The application of spectral distribution of product of two random matrices in the factor analysis

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Abstract

In the factor analysis model with large cross-section and time-series dimensions, we propose 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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Authors and Affiliations

  1. Department of Statistics and Finance, University of Science and Technology of China, Hefei, 230026, China

    Bai-suo Jin, Bai-qi Miao & Wu-yi Ye

  2. Academy of Mathematics and Systems Science, Chinese Academy of Sciences, Beijing, 100080, China

    Zhen-xiang Wu

Authors
  1. Bai-suo Jin
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  2. Bai-qi Miao
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  3. Wu-yi Ye
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  4. Zhen-xiang Wu
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Corresponding author

Correspondence to Bai-suo Jin.

Additional information

This work was partially supported by the National Natural Science Foundation of China (Grant No. 10471135)

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Jin, Bs., Miao, Bq., Ye, Wy. et al. The application of spectral distribution of product of two random matrices in the factor analysis. SCI CHINA SER A 50, 1303–1315 (2007). https://doi.org/10.1007/s11425-007-0086-4

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  • DOI: https://doi.org/10.1007/s11425-007-0086-4

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