Chapter 14: Latent Factor Models
Random Matrix Theory for PCA in Finance advanced
In a high-dimensional return panel, a large eigenvalue may reflect latent structure, or it may just be the geometry of estimation noise.
In a high-dimensional return panel, a large eigenvalue may reflect latent structure, or it may just be the geometry of estimation noise.
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References
The Elements of Quantitative Investing
Giuseppe A. Paleologo
(2025)
— John Wiley & Sons
Phase transition of the largest eigenvalue for nonnull complex sample covariance matrices
Jinho Baik, Gérard Ben Arous, Sandrine Péché
(2005)
— The Annals of Probability