在考虑稳定性的情况下确定因子数量

Sze Ming Lee, Yunxiao Chen
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引用次数: 0

摘要

本文提出了一种在考虑稳定性的前提下确定线性因子模型中因子个数的新方法。根据数据分割得到的估计载荷空间之间的主角,提出了一种不稳定性度量。在此基础上,提出了确定因子个数的标准,并证明这些标准是一致的。这种一致性是利用随机矩阵理论的结果,特别是非离群特征向量的完整定位来实现的。通过弱化一致性的渐近要求、模拟研究和真实数据示例,展示了所提出的方法相对于现有方法的优势。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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.
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