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stat.ME2024
Adaptive L-statistics for high dimensional test problem
Huifang Ma, Long Feng, Zhaojun Wang
In this study, we focus on applying L-statistics to the high-dimensional one-sample location test problem. Intuitively, an L-statistic with parameters tends to perform optimall…
stat.ME2024★ 1 cited
Testing Alpha in High Dimensional Linear Factor Pricing Models with Dependent Observations
Huifang Ma, Long Feng, Zhaojun Wang +1
In this study, we introduce three distinct testing methods for testing alpha in high dimensional linear factor pricing model that deals with dependent data. The first method is a s…