Special Colloquium
Xinghua Zheng
Hong Kong University of Science and Technology
Tests for principal eigenvalues and eigenvectors
Abstract: We establish central limit theorems for principal eigenvalues and eigenvectors under a large factor model setting, and develop two-sample tests for differences in either principal eigenvalues or principal eigenvectors. As an application, these tests can be used to detect structural breaks in large factor models. To the best of our knowledge, our tests are the first that can distinguish between individual eigenvalues and/or eigenvectors, and hence provide unique insights into the source of structural breaks.
Based on joint work with Jianqing Fan, Yingying Li and Ningning Xia.
Tea will be served at SEO 300, 4:00 - 4:30 PM.
Tuesday January 21, 2020 at 3:00 PM in 636 SEO