3 papers
stat.ME2025
On a new robust method of inference for general time series models
Zihan Wang, Xinghao Qiao, Dong Li +1
In this article, we propose a novel logistic quasi-maximum likelihood estimation (LQMLE) for general parametric time series models. Compared to the classical Gaussian QMLE and exis…
stat.ME2025
Large covariance matrix estimation with factor-assisted variable clustering
Dong Li, Xinghao Qiao, Cheng Yu
This paper studies the covariance matrix estimation for high-dimensional time series within a new framework that combines low-rank factor and latent variable-specific cluster struc…
stat.ME2023
Factor-guided estimation of large covariance matrix function with conditional functional sparsity
Dong Li, Xinghao Qiao, Zihan Wang
This paper addresses the fundamental task of estimating covariance matrix functions for high-dimensional functional data/functional time series. We consider two functional factor s…