7 papers
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…
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…
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…
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…