{"title":"在考虑稳定性的情况下确定因子数量","authors":"Sze Ming Lee, Yunxiao Chen","doi":"arxiv-2409.07617","DOIUrl":null,"url":null,"abstract":"This paper proposes a novel method for determining the number of factors in\nlinear factor models under stability considerations. An instability measure is\nproposed based on the principal angle between the estimated loading spaces\nobtained by data splitting. Based on this measure, criteria for determining the\nnumber of factors are proposed and shown to be consistent. This consistency is\nobtained using results from random matrix theory, especially the complete\ndelocalization of non-outlier eigenvectors. The advantage of the proposed\nmethods over the existing ones is shown via weaker asymptotic requirements for\nconsistency, simulation studies and a real data example.","PeriodicalId":501425,"journal":{"name":"arXiv - STAT - Methodology","volume":"78 1","pages":""},"PeriodicalIF":0.0000,"publicationDate":"2024-09-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Determining number of factors under stability considerations\",\"authors\":\"Sze Ming Lee, Yunxiao Chen\",\"doi\":\"arxiv-2409.07617\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"This paper proposes a novel method for determining the number of factors in\\nlinear factor models under stability considerations. An instability measure is\\nproposed based on the principal angle between the estimated loading spaces\\nobtained by data splitting. Based on this measure, criteria for determining the\\nnumber of factors are proposed and shown to be consistent. This consistency is\\nobtained using results from random matrix theory, especially the complete\\ndelocalization of non-outlier eigenvectors. The advantage of the proposed\\nmethods over the existing ones is shown via weaker asymptotic requirements for\\nconsistency, simulation studies and a real data example.\",\"PeriodicalId\":501425,\"journal\":{\"name\":\"arXiv - STAT - Methodology\",\"volume\":\"78 1\",\"pages\":\"\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2024-09-11\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"arXiv - STAT - Methodology\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/arxiv-2409.07617\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"arXiv - STAT - Methodology","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/arxiv-2409.07617","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
Determining number of factors under stability considerations
This paper proposes a novel method for determining the number of factors in
linear factor models under stability considerations. An instability measure is
proposed based on the principal angle between the estimated loading spaces
obtained by data splitting. Based on this measure, criteria for determining the
number of factors are proposed and shown to be consistent. This consistency is
obtained using results from random matrix theory, especially the complete
delocalization of non-outlier eigenvectors. The advantage of the proposed
methods over the existing ones is shown via weaker asymptotic requirements for
consistency, simulation studies and a real data example.