Principal component error in high-dimensional factor models

By Alex Bernstein, Lisa R. Goldberg, Nicholas Gunther, Alec Kercheval, Tian Lan, Yian Lin, Dayi Yao

Published 2026-09-14

Everscope rating

1896

Relevance to quantitative trading

9 / 10

Implementation complexity

5 / 10

Reproducibility

3 / 5

About this paper

Methodology: High-Dimension Low-Sample-Size (HL/HDLSS) Asymptotic Analysis with Gram Reduction. Problem types: Dimensionality Reduction, Risk Management, Portfolio Optimization, Estimation Error Quantification.

arXiv:2609.20550 · Paper rankings

Open the interactive Everscope explorer for full analysis, charts, and paper battles.