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stat.ME2025
A Data-Adaptive Factor Model Using Composite Quantile Approach
Seeun Park, Hee-Seok Oh
This paper proposes a data-adaptive factor model (DAFM), a novel framework for extracting common factors that explain the structures of high-dimensional data. DAFM adopts a composi…
stat.ME2024
Combined Quantile Forecasting for High-Dimensional Non-Gaussian Data
Seeun Park, Hee-Seok Oh, Yaeji Lim
This study proposes a novel method for forecasting a scalar variable based on high-dimensional predictors that is applicable to various data distributions. In the literature, one o…