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math.ST2015★ 2 cited
An Extreme-Value Approach for Testing the Equality of Large U-Statistic Based Correlation Matrices
Cheng Zhou, Fang Han, Xinsheng Zhang +1
There has been an increasing interest in testing the equality of large Pearson's correlation matrices. However, in many applications it is more important to test the equality of la…
math.ST2015
Robust Inference of Risks of Large Portfolios
Jianqing Fan, Fang Han, Han Liu +1
We propose a bootstrap-based robust high-confidence level upper bound (Robust H-CLUB) for assessing the risks of large portfolios. The proposed approach exploits rank-based and qua…