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stat.ME2026
Generalized Linear Models for Extremes: Estimation and Inference in High Dimensions
Liujun Chen, Chen Zhou
We propose a regression model for the extreme tail of a response variable, in which covariates rescale the tail without changing its shape. A single covariate-dependent function th…
stat.ME2026
High Dimensional Mean Test for Shrinking Random Variables with Applications to Backtesting
Liujun Chen, Chen Zhou
We propose a high dimensional mean test framework for shrinking random variables, where the underlying random variables shrink to zero as the sample size increases. By pooling obse…