Martingale approximation of eigenvalues for common factor representation

Victor Bystrov and Antonietta di Salvatore

Statistics & Probability Letters, 2013, vol. 83, issue 1, 233-237

Abstract: In this paper a martingale approximation is used to derive an asymptotic distribution of simple positive eigenvalues of the sample covariance matrix for a stationary process. The derived distribution can be used to study stability of the common factor representation based on the principal component analysis of the covariance matrix.

Keywords: Martingale approximation; Dynamic factor model; Eigenvalue; Stability (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (1)

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DOI: 10.1016/j.spl.2012.09.009

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