activity
20212026
most citedTesting the number of common factors by bootstrapped sample covariance matrix in high-dimensional factor models

2 citations · 4 across the 4 of their papers we have counts for

collaborators
Showing math.STShow all

2 papers · 1 filter

math.ST2022★ 2 cited

Testing the number of common factors by bootstrapped sample covariance matrix in high-dimensional factor models

Long Yu, Peng Zhao, Wang Zhou

This paper studies the impact of bootstrap procedure on the eigenvalue distributions of the sample covariance matrix under a high-dimensional factor structure. We provide asymptoti…

math.ST2021

Testing Kronecker Product Covariance Matrices for High-dimensional Matrix-Variate Data

Long Yu, Jiahui Xie, Wang Zhou

Kronecker product covariance structure provides an efficient way to modeling the inter-correlations of matrix-variate data. In this paper, we propose testing statistics for Kroneck…