Spiked Eigenvalues of High-Dimensional Separable Sample Covariance Matrices
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More about this item
Keywords
factor model; high-dimensional data; principal component analysis; spiked empirical eigenvalue.;All these keywords.
JEL classification:
- C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C55 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Large Data Sets: Modeling and Analysis
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2020-01-20 (Econometrics)
- NEP-ORE-2020-01-20 (Operations Research)
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