3 papers
stat.ME2025
Sparse-Group Factor Analysis for High-Dimensional Time Series
Xin Wang, Xialu Liu
Factor analysis is a widely used technique for dimension reduction in high-dimensional data. However, a key challenge in factor models lies in the interpretability of the latent fa…
q-fin.TR2025
Prediction of high-frequency futures return directions based on the mean uncertainty classification methods: An application in China's future market
Ying Peng, Yifan Zhang, Xin Wang
In this paper, we mainly focus on the prediction of short-term average return directions in China's high-frequency futures market. As minor fluctuations with limited amplitude and…
stat.ME2025
Regularized Estimation of the Loading Matrix in Factor Models for High-Dimensional Time Series
Xialu Liu, Xin Wang
High-dimensional data analysis using traditional models suffers from overparameterization. Two types of techniques are commonly used to reduce the number of parameters - regulariza…