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Weak Factor Analysis via Temporally Weighted PCA

Lyu, Zhongyuan et al.
arXiv (All) · Papers
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62e20econometricsmethodologystatistics-theory
Principal component analysis (PCA) is arguably the most widely used approach for large-dimensional factor analysis. While it is effective when the factors are sufficiently strong, it can be inconsistent when the factors are weak and/or the noise has complex dependence structure. We argue that the in
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