7 papers · 1 filter
Adaptive Test for Jump
Huifang Ma, Long Feng
We develop an adaptive jump test for discretely observed high-frequency semimartingales by combining the A"it-Sahalia--Jacod ratio statistic (A"it-Sahalia and Jacod, 2009) and the…
High-Dimensional Tests for Elliptical Models via Radial--Directional Dependence
Haoran Zhang, Long Feng
We develop high-dimensional goodness-of-fit tests for elliptical models by testing radial--directional independence after affine standardization. The method forms coordinatewise co…
High-Dimensional Two-Sample Test for Elliptical Symmetry Distribution
Long Feng, Hongfei Wang
We study the high-dimensional two-sample location problem under elliptical symmetry with arbitrary dependence in the scatter matrix. Existing spatial-sign procedures are attractive…
Testing Alpha in High-Dimensional Conditional Time-Varying Factor Models with Dependent Observations
Long Feng, Huifang Ma, Zhaojun Wang
This paper studies alpha testing in a high-dimensional conditional time-varying factor model with temporally dependent observations. Both factor loadings and alpha processes are al…
High-Dimensional Data Analysis for Elliptically Symmetric Distributions
Long Feng
High-dimensional data arise routinely in modern statistics, econometrics, finance, genomics, and machine learning. While a large body of existing methodology is developed under Gau…
Tensor Elliptical Graphic Model
Jixuan Liu, Zhengke Lu, Le Zhou +2
We address the problem of robust estimation of sparse high dimensional tensor elliptical graphical model. Most of the research focus on tensor graphical model under normality. To e…
Robust Sparse Precision Matrix Estimation and its Application
Zhengke Lu, Long Feng
We address the problem of robust sparse estimation of the precision matrix for heavy-tailed distributions in high-dimensional settings. In such high-dimensional contexts, we observ…