Random selection of factors preserves the correlation structure in a linear factor model to a high degree
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DOI: 10.1371/journal.pone.0206551
Abstract: In a very high-dimensional vector space, two randomly-chosen vectors are almost orthogonal with high probability. Starting from this observation, we develop a statistical factor model, the random factor model, in which factors are chosen stochastically… read more here.
Keywords: factor model; random selection; correlation; linear factor ... See more keywords