Testing common structure in high-dimensional factor models: change-point and two-sample procedures
高维因子模型共同结构检验:变点与双样本程序
This work proposes a novel procedure to test for common structures across two high-dimensional factor models. The introduced test allows to uncover whether two factor models are driven by the same loading matrix up to some linear transformation. The test can be used to discover inter-individual relationships between two datasets. In addition, it can be applied to test for structural changes over time in the loading matrix of an individual factor model. The test aims to…