Accuracy of the random factor approach.
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https://figshare.com/articles/dataset/Random_selection_of_factors_preserves_the_correlation_structure_in_a_linear_factor_model_to_a_high_degree/7500203
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In S1 Appendix, we prove the main results used in the text for the mean and variance of the projection operators involved in the random factor models. We are mainly interested in controlling their asymptotic dependence for large values of the dimensions k and d of the factor matrix. (TEX)
创建时间：
2018-12-21
