Determining the number of factors in high-dimensional factor modeling is essential but challenging, especially when the data are heavy-tailed. In this paper, we introduce a new estimator based on t...

中文翻译：

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通过 Spearman 相关矩阵对高维因子建模中因子数量的鲁棒估计


确定高维因子建模中的因子数量至关重要，但具有挑战性，特别是当数据是重尾数据时。在本文中，我们介绍了一种基于...的新估计器。