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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…