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stat.ME2024
Robust Gradient Descent Estimation for Tensor Models under Heavy-Tailed Distributions
Xiaoyu Zhang, Di Wang, Guodong Li +1
Low-rank tensor models are widely used in statistics. However, most existing methods rely heavily on the assumption that data follows a sub-Gaussian distribution. To address the ch…
math.ST2024
Robust estimation for high-dimensional time series with heavy tails
Yu Wang, Guodong Li, Zhijie Xiao +2
We study in this paper the problem of least absolute deviation (LAD) regression for high-dimensional heavy-tailed time series which have finite -th moment with . To…
stat.ME2024
A computationally efficient multivariate volatility model for many assets
Wenyu Li, Yuchang Lin, Qianqian Zhu +1
This paper develops a flexible and computationally efficient multivariate volatility model that accommodates dynamic conditional correlations and volatility spillover effects among…