1 citations · 1 across the 9 of their papers we have counts for
10 papers · 1 filter
Testing Alpha in High-Dimensional Conditional Time-Varying Factor Models with Dependent Observations
Long Feng, Huifang Ma, Zhaojun Wang
This paper studies alpha testing in a high-dimensional conditional time-varying factor model with temporally dependent observations. Both factor loadings and alpha processes are al…
Tensor Elliptical Graphic Model
Jixuan Liu, Zhengke Lu, Le Zhou +2
We address the problem of robust estimation of sparse high dimensional tensor elliptical graphical model. Most of the research focus on tensor graphical model under normality. To e…
Spatial-Sign based High dimensional Change Point Inference
Jixuan Liu, Long Feng, Liuhua Peng +1
High-dimensional changepoint inference, adaptable to diverse alternative scenarios, has attracted significant attention in recent years. In this paper, we propose an adaptive and r…
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…
Adaptive Sphericity Tests for High Dimensional Data
Ping Zhao, Wenwan Yang, Long Feng +1
In this paper, we investigate sphericity testing in high-dimensional settings, where existing methods primarily rely on sum-type test procedures that often underperform under spars…
Adaptive L-statistics for high dimensional test problem
Huifang Ma, Long Feng, Zhaojun Wang
In this study, we focus on applying L-statistics to the high-dimensional one-sample location test problem. Intuitively, an L-statistic with parameters tends to perform optimall…
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…
Adaptive Strategy of Testing Alphas in High Dimensional Linear Factor Pricing Models
Chenxi Zhao, Ping Zhao, Long Feng +1
In recent years, there has been considerable research on testing alphas in high-dimensional linear factor pricing models. In our study, we introduce a novel max-type test procedure…
Spatial-Sign based Maxsum Test for High Dimensional Location Parameters
Jixuan Liu, Long Feng, Ping Zhao +1
In this study, we explore a robust testing procedure for the high-dimensional location parameters testing problem. Initially, we introduce a spatial-sign based max-type test statis…
Testing Alpha in High Dimensional Linear Factor Pricing Models with Dependent Observations
Huifang Ma, Long Feng, Zhaojun Wang +1
In this study, we introduce three distinct testing methods for testing alpha in high dimensional linear factor pricing model that deals with dependent data. The first method is a s…