2 citations · 3 across the 6 of their papers we have counts for
6 papers
Expected Shortfall Panel Regression
Yujie Hou, Xinbing Kong, Yalin Wang +1
Expected Shortfall (ES) is a coherent measure of tail risk that captures the average loss beyond a quantile threshold. Despite the growing literature on ES regression conditional o…
TransPCA for Large-dimensional Factor Analysis with Weak Factors: Power Enhancement via Knowledge Transfer
Yong He, Dong Liu, Yunjing Sun +1
Early work established convergence of the principal component estimators of the factors and loadings up to a rotation for large dimensional approximate factor models with weak fact…
Factor Modelling for Biclustering Large-dimensional Matrix-valued Time Series
Yong He, Xiaoyang Ma, Xingheng Wang +1
A novel unsupervised learning method is proposed in this paper for biclustering large-dimensional matrix-valued time series based on an entirely new latent two-way factor structure…
Generalized Principal Component Analysis for Large-dimensional Matrix Factor Model
Yong He, Yujie Hou, Haixia Liu +1
Matrix factor models have been growing popular dimension reduction tools for large-dimensional matrix time series. However, the heteroscedasticity of the idiosyncratic components h…
Large-dimensional Robust Factor Analysis with Group Structure
Yong He, Xiaoyang Ma, Xingheng Wang +1
In this paper, we focus on exploiting the group structure for large-dimensional factor models, which captures the homogeneous effects of common factors on individuals within the sa…
A new non-parametric Kendall's tau for matrix-valued elliptical observations
Yong He, Yalin Wang, Long Yu +2
In this article, we first propose generalized row/column matrix Kendall's tau for matrix-variate observations that are ubiquitous in areas such as finance and medical imaging. For…