3 papers
stat.ME2024
Learning Fair Decisions with Factor Models: Applications to Annuity Pricing
Fei Huang, Junhao Shen, Yanrong Yang +1
Fairness-aware statistical learning is essential for mitigating discrimination against protected attributes such as gender, race, and ethnicity in data-driven decision-making. This…
stat.ME2022
Robust PCA for High Dimensional Data based on Characteristic Transformation
Lingyu He, Yanrong Yang, Bo Zhang
In this paper, we propose a novel robust Principal Component Analysis (PCA) for high-dimensional data in the presence of various heterogeneities, especially the heavy-tailedness an…
stat.ME2021
Mortality Forecasting using Factor Models: Time-varying or Time-invariant Factor Loadings?
Lingyu He, Fei Huang, Jianjie Shi +1
Many existing mortality models follow the framework of classical factor models, such as the Lee-Carter model and its variants. Latent common factors in factor models are defined as…