Article ID Journal Published Year Pages File Type
1152062 Statistics & Probability Letters 2013 5 Pages PDF
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.
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Related Topics
Physical Sciences and Engineering Mathematics Statistics and Probability
Preview
Martingale approximation of eigenvalues for common factor representation
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