17 citations · 25 across the 7 of their papers we have counts for
7 papers · 1 filter
Tests for principal eigenvalues and eigenvectors
Jianqing Fan, Yingying Li, Ningning Xia +1
We establish central limit theorems for principal eigenvalues and eigenvectors under a large factor model setting, and develop two-sample tests of both principal eigenvalues and pr…
On the estimation of high-dimensional integrated covariance matrix based on high-frequency data with multiple transactions
Moming Wang, Ningning Xia, You Zhou
Due to the mechanism of recording, the presence of multiple transactions at each recording time becomes a common feature for high-frequency data in financial market. Using random m…
Shrinkage estimation of covariance matrix for portfolio choice with high frequency data
Cheng Liu, Ningning Xia, Jun Yu
This paper examines the usefulness of high frequency data in estimating the covariance matrix for portfolio choice when the portfolio size is large. A computationally convenient no…
Convergence rate of eigenvector empirical spectral distribution of large Wigner matrices
Ningning Xia, Zhidong Bai
In this paper, we adopt the eigenvector empirical spectral distribution (VESD) to investigate the limiting behavior of eigenvectors of a large dimensional Wigner matrix W_n. In par…
On the inference about the spectral distribution of high-dimensional covariance matrix based on high-frequency noisy observations
Ningning Xia, Xinghua Zheng
In practice, observations are often contaminated by noise, making the resulting sample covariance matrix a signal-plus-noise sample covariance matrix. Aiming to make inferences abo…
On the inference about the spectra of high-dimensional covariance matrix based on noisy observations-with applications to integrated covolatility matrix inference in the presence of microstructure noise
Ningning Xia, Xinghua Zheng
In practice, observations are often contaminated by noise, making the resulting sample covariance matrix to be an information-plus-noise-type covariance matrix. Aiming to make infe…
Convergence rates of eigenvector empirical spectral distribution of large dimensional sample covariance matrix
Ningning Xia, Yingli Qin, Zhidong Bai
The eigenvector Empirical Spectral Distribution (VESD) is adopted to investigate the limiting behavior of eigenvectors and eigenvalues of covariance matrices. In this paper, we sha…