614 citations · 1.8k across the 34 of their papers we have counts for
38 papers
Efficient and Adaptive Estimation of Portfolio Weights with Spectral Risk Measures
Kangjie Zhou, Ming Yuan
Spectral risk measures, including conditional value-at-risk (CVaR), generate a family of convex criteria for portfolio estimation. We study how the criterion should be chosen when…
Matrix Completion When Missing Is Not at Random and Its Applications in Causal Panel Data Models
Jungjun Choi, Ming Yuan
This paper develops an inferential framework for matrix completion when missing is not at random and without the requirement of strong signals. Our development is based on the obse…
Mode-wise Principal Subspace Pursuit and Matrix Spiked Covariance Model
Runshi Tang, Ming Yuan, Anru R. Zhang
This paper introduces a novel framework called Mode-wise Principal Subspace Pursuit (MOP-UP) to extract hidden variations in both the row and column dimensions for matrix data. To…
Large Dimensional Independent Component Analysis: Statistical Optimality and Computational Tractability
Arnab Auddy, Ming Yuan
In this paper, we investigate the optimal statistical performance and the impact of computational constraints for independent component analysis (ICA). Our goal is twofold. On the…
On Recovering the Best Rank-r Approximation from Few Entries
Shun Xu, Ming Yuan
In this note, we investigate how well we can reconstruct the best rank- approximation of a large matrix from a small number of its entries. We show that even if a data matrix is…
On Estimating Rank-One Spiked Tensors in the Presence of Heavy Tailed Errors
Arnab Auddy, Ming Yuan
In this paper, we study the estimation of a rank-one spiked tensor in the presence of heavy tailed noise. Our results highlight some of the fundamental similarities and differences…