17 citations · 25 across the 7 of their papers we have counts for
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math.ST2016
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…
math.ST2016
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…
math.ST2016★ 3 cited
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…