Information criteria for latent factor models: A study on factor pervasiveness and adaptivity
潜在因子模型的信息准则：因子广泛性与自适应性
We study the information criteria extensively under general conditions for high-dimensional latent factor models. Upon carefully analyzing the estimation errors of the principal component analysis method, we establish theoretical results on the estimation accuracy of the latent factor scores, incorporating the impact from possibly weak factor pervasiveness; our analysis does not require the same factor strength of all the leading factors. To estimate the number of the latent…