On the statistical analysis of high-dimensional factor models

High-dimensional factor models have received much attention with the rapid development in big data. We make several contributions to the asymptotic properties of Quasi Maximum Likelihood estimations (QMLE) as both the sample size T and the variable dimension N go to infinity. First we eliminate one of rather unnatural assumptions on the variance estimates which is commonly assumed in the literature. Secondly, we give unified results on the asymptotic properties of the QMLE, which greatly expand the scope of earlier studies. Simulations are given to illustrate these results.