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stat.ME2024
Modeling High-Dimensional Dependent Data in the Presence of Many Explanatory Variables and Weak Signals
Zhaoxing Gao, Ruey S. Tsay
This article considers a novel and widely applicable approach to modeling high-dimensional dependent data when a large number of explanatory variables are available and the signal-…
econ.EM2024
Optimal Bias-Correction and Valid Inference in High-Dimensional Ridge Regression: A Closed-Form Solution
Zhaoxing Gao, Ruey S. Tsay
Ridge regression is an indispensable tool in big data analysis. Yet its inherent bias poses a significant and longstanding challenge, compromising both statistical efficiency and s…