Simultaneous Inference for High-Dimensional Approximate Factor Model
This paper studies simultaneous inference for factor loadings in the approximate factor model. We propose a test statistic based on the maximum discrepancy measure. Taking advantage of the fact that the test statistic can be approximated by the sum of the independent random variables, we develop a m...
| Main Authors: | , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2020-11-01
|
| Series: | Entropy |
| Subjects: | |
| Online Access: | https://www.mdpi.com/1099-4300/22/11/1258 |