3 papers
math.ST2024
Sub-Gaussian High-Dimensional Covariance Matrix Estimation under Elliptical Factor Model with 2 + εth Moment
Yi Ding, Xinghua Zheng
We study the estimation of high-dimensional covariance matrices under elliptical factor models with 2 + εth moment. For such heavy-tailed data, robust estimators like the Huber-typ…
math.ST2022
High-dimensional covariance matrices under dynamic volatility models: asymptotics and shrinkage estimation
Yi Ding, Xinghua Zheng
We study the estimation of the high-dimensional covariance matrix andits eigenvalues under dynamic volatility models. Data under such modelshave nonlinear dependency both cross-sec…
stat.ML2022
Statistical Learning for Individualized Asset Allocation
Yi Ding, Yingying Li, Rui Song
We establish a high-dimensional statistical learning framework for individualized asset allocation. Our proposed methodology addresses continuous-action decision-making with a larg…