5 citations · 27 across the 18 of their papers we have counts for
5 papers · 2 filters
Robust Statistical Inference for Large-dimensional Matrix-valued Time Series via Iterative Huber Regression
Yong He, Xin-Bing Kong, Dong Liu +1
Matrix factor model is drawing growing attention for simultaneous two-way dimension reduction of well-structured matrix-valued observations. This paper focuses on robust statistica…
Simultaneous Estimation and Dataset Selection for Transfer Learning in High Dimensions by a Non-convex Penalty
Zeyu Li, Dong Liu, Yong He +1
In this paper, we propose to estimate model parameters and identify informative source datasets simultaneously for high-dimensional transfer learning problems with the aid of a non…
Huber Principal Component Analysis for Large-dimensional Factor Models
Yong He, Lingxiao Li, Dong Liu +1
Factor models have been widely used in economics and finance. However, the heavy-tailed nature of macroeconomic and financial data is often neglected in the existing literature. To…
Robust Tensor Factor Analysis
Matteo Barigozzi, Yong He, Lingxiao Li +1
We consider (robust) inference in the context of a factor model for tensor-valued sequences. We study the consistency of the estimated common factors and loadings space when using…
An Efficient Iterative Least Squares Algorithm for Large-dimensional Matrix Factor Model via Random Projection
Yong He, Ran Zhao, Wen-Xin Zhou
The matrix factor model has drawn growing attention for its advantage in achieving two-directional dimension reduction simultaneously for matrix-structured observations. In this pa…