{"title":"Robust estimation for number of factors in high dimensional factor modeling via Spearman correlation matrix","authors":"Jiaxin Qiu, Zeng Li, Jianfeng Yao","doi":"10.1080/01621459.2024.2402565","DOIUrl":null,"url":null,"abstract":"Determining the number of factors in high-dimensional factor modeling is essential but challenging, especially when the data are heavy-tailed. In this paper, we introduce a new estimator based on t...","PeriodicalId":3,"journal":{"name":"ACS Applied Electronic Materials","volume":null,"pages":null},"PeriodicalIF":4.3000,"publicationDate":"2024-09-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"ACS Applied Electronic Materials","FirstCategoryId":"100","ListUrlMain":"https://doi.org/10.1080/01621459.2024.2402565","RegionNum":3,"RegionCategory":"材料科学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"ENGINEERING, ELECTRICAL & ELECTRONIC","Score":null,"Total":0}
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Abstract
Determining the number of factors in high-dimensional factor modeling is essential but challenging, especially when the data are heavy-tailed. In this paper, we introduce a new estimator based on t...
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