24 citations · 76 across the 7 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★ 14 cited
Tensor Factor Model Estimation by Iterative Projection
Yuefeng Han, Rong Chen, Dan Yang +1
Tensor time series, which is a time series consisting of tensorial observations, has become ubiquitous. It typically exhibits high dimensionality. One approach for dimension reduct…