3 papers
stat.ME2025
Bias Correction in Factor-Augmented Regression Models with Weak Factors
Peiyun Jiang, Yoshimasa Uematsu, Takashi Yamagata
In this paper, we study the asymptotic bias of the factor-augmented regression estimator and its reduction, which is augmented by the factors extracted from a large number of $…
math.ST2023
Revisiting Asymptotic Theory for Principal Component Estimators of Approximate Factor Models
Peiyun Jiang, Yoshimasa Uematsu, Takashi Yamagata
It is well known that approximate factor models exhibit rotation indeterminacy. Principal component (PC) estimators are typically analyzed relative to a rotated factor-loading repr…
math.ST2018
IPAD: Stable Interpretable Forecasting with Knockoffs Inference
Yingying Fan, Jinchi Lv, Mahrad Sharifvaghefi +1
Interpretability and stability are two important features that are desired in many contemporary big data applications arising in economics and finance. While the former is enjoyed…