Asymptotics for empirical eigenvalue processes in high-dimensional linear factor models
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DOI: 10.1016/j.jmva.2018.07.001
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- Patrice Abry & B. Cooper Boniece & Gustavo Didier & Herwig Wendt, 2023. "Wavelet eigenvalue regression in high dimensions," Statistical Inference for Stochastic Processes, Springer, vol. 26(1), pages 1-32, April.
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Keywords
Change point analysis; Linear factor models; Principal component analysis;All these keywords.
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