36 citations · 96 across the 14 of their papers we have counts for
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stat.ME2020★ 4 cited
Testing and Support Recovery of Correlation Structures for Matrix-Valued Observations with an Application to Stock Market Data
Xin Chen, Dan Yang, Yan Xu +3
Estimation of the covariance matrix of asset returns is crucial to portfolio construction. As suggested by economic theories, the correlation structure among assets differs between…
stat.ME2020★ 11 cited
Integrative High Dimensional Multiple Testing with Heterogeneity under Data Sharing Constraints
Molei Liu, Yin Xia, Kelly Cho +1
Identifying informative predictors in a high dimensional regression model is a critical step for association analysis and predictive modeling. Signal detection in the high dimensio…