4 papers
Weight-calibrated estimation for factor models of high-dimensional time series
Xinghao Qiao, Zihan Wang, Qiwei Yao +1
The factor modeling for high-dimensional time series is powerful in discovering latent common components for dimension reduction and information extraction. Most available estimati…
Time Series Gaussian Chain Graph Models
Qin Fang, Xinghao Qiao, Zihan Wang
Time series graphical models have recently received considerable attention for characterizing (conditional) dependence structures in multivariate time series. In many applications,…
Factor-guided estimation of large covariance matrix function with conditional functional sparsity
Dong Li, Xinghao Qiao, Zihan Wang
This paper addresses the fundamental task of estimating covariance matrix functions for high-dimensional functional data/functional time series. We consider two functional factor s…
On a new robust method of inference for general time series models
Zihan Wang, Xinghao Qiao, Dong Li +1
In this article, we propose a novel logistic quasi-maximum likelihood estimation (LQMLE) for general parametric time series models. Compared to the classical Gaussian QMLE and exis…