Kavli Affiliate: Feng Long| Summary: Changes in principal eigenvalues and eigendirections provide complementary diagnostics of structural instability in factor models, but covariance-based inference can be unreliable under heavy tails. We develop two-sample tests for equality of these features of trace-normalized shape matrices under high-dimensional elliptical factor models. Our approach combines Tyler’s identity with orthogonalization and […]
Continue.. Two-sample tests for principal eigenvalues and eigenvectors in high-dimensional elliptical factor models