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stat.ME2024★ 2 cited
The mosaic permutation test: an exact and nonparametric goodness-of-fit test for factor models
Asher Spector, Rina Foygel Barber, Trevor Hastie +2
Financial firms often rely on fundamental factor models to explain correlations among asset returns and manage risk. Yet after major events, e.g., COVID-19, analysts may reassess w…
stat.ME2024★ 5 cited
Controlled Variable Selection from Summary Statistics Only? A Solution via GhostKnockoffs and Penalized Regression
Zhaomeng Chen, Zihuai He, Benjamin B. Chu +4
Identifying which variables do influence a response while controlling false positives pervades statistics and data science. In this paper, we consider a scenario in which we only h…