3 citations · 5 across the 3 of their papers we have counts for
5 papers
Feature Screening for High-Dimensional Structural Break Predictive Regression
Zhenjie Qin, Rongmao Zhang, Wenyang Zhang +1
Predictive regression is a crucial tool for exploring return predictability. In this study, we introduce an efficient procedure for selecting and estimating active predictors and c…
Krigings Over Space and Time Based on Latent Low-Dimensional Structures
Da Huang, Qiwei Yao, Rongmao Zhang
We propose a new approach to represent nonparametrically the linear dependence structure of a spatio-temporal process in terms of latent common factors. Though it is formally simil…
Identifying Cointegration by Eigenanalysis
Rongmao Zhang, Peter Robinson, Qiwei Yao
We propose a new and easy-to-use method for identifying cointegrated components of nonstationary time series, consisting of an eigenanalysis for a certain non-negative definite mat…
Marked empirical processes for non-stationary time series
Ngai Hang Chan, Rongmao Zhang
Consider a first-order autoregressive process where and are i.i.d. random variables. Motiva…
Tests for covariance matrix with fixed or divergent dimension
Rongmao Zhang, Liang Peng, Ruodu Wang
Testing covariance structure is of importance in many areas of statistical analysis, such as microarray analysis and signal processing. Conventional tests for finite-dimensional co…