3 papers
stat.ME2025
High dimensional matrix estimation through elliptical factor models
Xinyue Xu, Huifang Ma, Hongfei Wang +1
Elliptical factor models play a central role in modern high-dimensional data analysis, particularly due to their ability to capture heavy-tailed and heterogeneous dependence struct…
stat.ME2024
Robust Mutual Fund Selection with False Discovery Rate Control
Hongfei Wang, Long Feng, Ping Zhao +1
In this article, we address the challenge of identifying skilled mutual funds among a large pool of candidates, utilizing the linear factor pricing model. Assuming observable facto…
stat.ME2024
Double Robust high dimensional alpha test for linear factor pricing model
Ping Zhao, Long Feng, Hongfei Wang +1
In this paper, we investigate alpha testing for high-dimensional linear factor pricing models. We propose a spatial sign-based max-type test to handle sparse alternative cases. Add…