900 Dandenong Road
Caulfield East, 3145
Australia
Monash University
Factor Model; High-Dimensional Data; Principal Component Analysis; Spiked Empirical Eigenvalue
Factor models, random matrices, principal components, eigenvalues, central limit theorem, heavy tail, integrated time series, local correlation
Factor model; non-stationarity; sample covariance matrix; stationarity
Cross-sectional dependence; factor model; joint estimation; large panel data analysis; marginal estimation
Asymptotic normality, largest eigenvalue, linear process, near unit root test.
Asymptotic normality, Largest eigenvalue, Linear process, Unit root test
