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math.ST2015★ 52 cited
Testing for pure-jump processes for high-frequency data
Xin-Bing Kong, Zhi Liu, Bing-Yi Jing
Pure-jump processes have been increasingly popular in modeling high-frequency financial data, partially due to their versatility and flexibility. In the meantime, several statistic…
math.ST2012★ 34 cited
Nonparametric estimate of spectral density functions of sample covariance matrices: A first step
Bing-Yi Jing, Guangming Pan, Qi-Man Shao +1
The density function of the limiting spectral distribution of general sample covariance matrices is usually unknown. We propose to use kernel estimators which are proved to be cons…
math.ST2005
Saddlepoint approximation for Student's t-statistic with no moment conditions
Bing-Yi Jing, Qi-Man Shao, Wang Zhou
A saddlepoint approximation of the Student's t-statistic was derived by Daniels and Young [Biometrika 78 (1991) 169-179] under the very stringent exponential moment condition that…