Martingale approximation for common factor representation

Victor Bystrov and Antonietta di Salvatore

MPRA Paper from University Library of Munich, Germany

Abstract: In this paper a martingale approximation is used to derive the limiting distribution of simple positive eigenvalues of the sample covariance matrix for a stationary linear 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)
JEL-codes: C10 C32 (search for similar items in EconPapers)
Date: 2012-03-26
New Economics Papers: this item is included in nep-ecm
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https://mpra.ub.uni-muenchen.de/39840/1/MPRA_paper_39840.pdf revised version (application/pdf)

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:37669

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