Seminar第2719讲 基于Spearman秩相关矩阵的高维因子建模中因子数量的稳健估计

创建时间:  2024/09/24  谭福平   浏览次数:   返回

报告题目 (Title):基于Spearman秩相关矩阵的高维因子建模中因子数量的稳健估计

报告人 (Speaker):李曾 副教授(南方科技大学)

报告时间 (Time):2024年09月26日 (周四) 11:00-12:30

报告地点 (Place):腾讯会议(会议号:824-463-386 无密码)

邀请人(Inviter):张阳春


报告摘要: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 the spectral properties of Spearman’s rank correlation matrix under the high-dimensional setting, where both dimension and sample size tend to infinity proportionally. Our estimator is applicable for scenarios where either the common factors or idiosyncratic errors follow heavy-tailed distributions. We prove that the proposed estimator is consistent under mild conditions. Numerical experiments also demonstrate the superiority of our estimator compared to existing methods, especially for the heavy-tailed case.

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