47 citations · 68 across the 10 of their papers we have counts for
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econ.EM2018
Change-Point Testing for Risk Measures in Time Series
Lin Fan, Junting Duan, Peter W. Glynn +1
We propose novel methods for change-point testing for nonparametric estimators of expected shortfall and related risk measures in weakly dependent time series. We can detect genera…
econ.EM2018
State-Varying Factor Models of Large Dimensions
Markus Pelger, Ruoxuan Xiong
This paper develops an inferential theory for state-varying factor models of large dimensions. Unlike constant factor models, loadings are general functions of some recurrent state…
stat.ME2018★ 10 cited
Interpretable Sparse Proximate Factors for Large Dimensions
Markus Pelger, Ruoxuan Xiong
This paper proposes sparse and easy-to-interpret proximate factors to approximate statistical latent factors. Latent factors in a large-dimensional factor model can be estimated by…