9 papers · 1 filter
Rank-Based Tests for Mutual Independence of High-Dimensional Random Vectors via Norm
Ping Zhao, Hongfei Wang, Long Feng
We consider the problem of testing mutual independence among the components of a high-dimensional random vector. Building on the rank-based max-sum framework, we introduce fixed fi…
High-Dimensional Two-Sample Test for Elliptical Symmetry Distribution
Long Feng, Hongfei Wang
We study the high-dimensional two-sample location problem under elliptical symmetry with arbitrary dependence in the scatter matrix. Existing spatial-sign procedures are attractive…
Robust Spatial-Sign-Based Testing of High-Dimensional Alpha in Conditional Factor Models
Ping Zhao, Hongfei Wang
This paper develops a new framework for alpha testing in high-dimensional factor pricing models with time-varying coefficients. To detect sparse alternatives, we propose a spatial-…
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…
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…
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…