84 citations · 196 across the 11 of their papers we have counts for
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math.ST2015★ 30 cited
Model selection and structure specification in ultra-high dimensional generalised semi-varying coefficient models
Degui Li, Yuan Ke, Wenyang Zhang
In this paper, we study the model selection and structure specification for the generalised semi-varying coefficient models (GSVCMs), where the number of potential covariates is al…
stat.ME2015
A Dynamic Structure for High Dimensional Covariance Matrices and its Application in Portfolio Allocation
Shaojun Guo, John Box, Wenyang Zhang
Estimation of high dimensional covariance matrices is an interesting and important research topic. In this paper, we propose a dynamic structure and develop an estimation procedure…