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Rank estimate averaged across simulation replications for the methods of Caner & Han (2014) (crosses), Hirose & Yamamoto (2015) (squares), Ročková & George (2016) varimax-free version (empty circles), Ročková & George (2016) varimax version (filled circles) and Witten et al. (2009) (diamonds), as well as our estimation algorithm (triangles). In each panel the horizontal grey line represents the true number of factors; error bars represent Monte Carlo errors.
