126 citations · 262 across the 32 of their papers we have counts for
4 papers · 1 filter
Statistical inference for high-dimensional spectral density matrix
Jinyuan Chang, Qing Jiang, Tucker S. McElroy +1
The spectral density matrix is a fundamental object of interest in time series analysis, and it encodes both contemporary and dynamic linear relationships between component process…
Testing the martingale difference hypothesis in high dimension
Jinyuan Chang, Qing Jiang, Xiaofeng Shao
In this paper, we consider testing the martingale difference hypothesis for high-dimensional time series. Our test is built on the sum of squares of the element-wise max-norm of th…
Robust Inference for Change Points in High Dimension
Feiyu Jiang, Runmin Wang, Xiaofeng Shao
This paper proposes a new test for a change point in the mean of high-dimensional data based on the spatial sign and self-normalization. The test is easy to implement with no tunin…
On Variance Estimation of Random Forests with Infinite-Order U-statistics
Tianning Xu, Ruoqing Zhu, Xiaofeng Shao
Infinite-order U-statistics (IOUS) has been used extensively on subbagging ensemble learning algorithms such as random forests to quantify its uncertainty. While normality results…