2 citations · 2 across the 4 of their papers we have counts for
4 papers
Glivenko--Cantelli Theorems for Integrated Volatility Functionals in Pure-Jump Semimartingales with an Application to Cryptocurrency Markets
Dachuan Chen, Jia Li, Tian Xie +1
We develop a two-step procedure for estimating integrated volatility functionals, defined through the occupation measure of the latent spot volatility process, when the asset price…
Spatial-sign based High Dimensional White Noises Test
Ping Zhao, Dachuan Chen, Zhaojun Wang
A spatial-sign based test procedure is proposed for high dimensional white noise test in this paper. We establish the limit null distribution and give the asymptotical relative eff…
Asymptotic Independence of the Quadratic form and Maximum of Independent Random Variables with Applications to High-Dimensional Tests
Dachuan Chen, Decai Liang, Long Feng
This paper establishes the asymptotic independence between the quadratic form and maximum of a sequence of independent random variables. Based on this theoretical result, we find t…
Rank Based Tests for High Dimensional White Noise
Dachuan Chen, Fengyi Song, Long Feng
The development of high-dimensional white noise test is important in both statistical theories and applications, where the dimension of the time series can be comparable to or exce…