108 citations · 345 across the 44 of their papers we have counts for
7 papers · 1 filter
Adaptive Estimation for Non-stationary Factor Models And A Test for Static Factor Loadings
Weichi Wu, Zhou Zhou
This paper considers the estimation and testing of a class of locally stationary time series factor models with evolutionary temporal dynamics. In particular, the entries and the d…
Singular Perturbation of Zero-Sum Linear-Quadratic Stochastic Differential Games
Beniamin Goldys, James Yang, Zhou Zhou
We investigate a class of zero-sum linear-quadratic stochastic differential games on a finite time horizon governed by multiscale state equations. The multiscale nature of the prob…
Multiscale Linear-Quadratic Stochastic Optimal Control With Multiplicative Noise
Beniamin Goldys, Gianmario Tessitore, James Yang +1
We investigate the asymptotic properties of a finite-time horizon linear-quadratic optimal control problem driven by a multiscale stochastic process with multiplicative Brownian no…
Teamwise Mean Field Competitions
Xiang Yu, Yuchong Zhang, Zhou Zhou
This paper studies competitions with rank-based reward among a large number of teams. Within each sizable team, we consider a mean-field contribution game in which each team member…
Frequency Detection and Change Point Estimation for Time Series of Complex Oscillation
Hau-Tieng Wu, Zhou Zhou
We consider detecting the evolutionary oscillatory pattern of a signal when it is contaminated by non-stationary noises with complexly time-varying data generating mechanism. A hig…
Statistical Inference for High Dimensional Panel Functional Time Series
Zhou Zhou, Holger Dette
In this paper we develop statistical inference tools for high dimensional functional time series. We introduce a new concept of physical dependent processes in the space of square…
Estimation and Inference of Time-Varying Auto-Covariance under Complex Trend: A Difference-based Approach
Yan Cui, Michael Levine, Zhou Zhou
We propose a difference-based nonparametric methodology for the estimation and inference of the time-varying auto-covariance functions of a locally stationary time series when it i…