7 papers
Sparse Rank Regression for Restricted-Access Economic Data
Wen Zhang, Songshan Yang, Liping Zhu
Empirical research in economics increasingly relies on restricted-access data held by multiple firms or agencies, making it impossible to construct the estimator of interest on the…
Distributed Convoluted Rank Regression for Non-Shareable Data under Non-Additive Losses
Wen Zhang, Liping Zhu, Songshan Yang
We study high-dimensional rank regression when data are distributed across multiple machines and the loss is a non-additive U-statistic, as in convoluted rank regression (CRR). Cla…
Cost-aware Portfolios in a Large Universe of Assets
Qingliang Fan, Marcelo C. Medeiros, Hanming Yang +1
This paper considers the finite horizon portfolio rebalancing problem in terms of mean-variance optimization, where decisions are made based on current information on asset returns…
Collaborative Inference for Sparse High-Dimensional Models with Non-Shared Data
Yifan Gu, Hanfang Yang, Songshan Yang +1
In modern data analysis, statistical efficiency improvement is expected via effective collaboration among multiple data holders with non-shared data. In this article, we propose a…
Double-Estimation-Friendly Inference for High-Dimensional Measurement Error Models with Non-Sparse Adaptability
Shijie Cui, Xu Guo, Songshan Yang +1
In this paper, we introduce an innovative testing procedure for assessing individual hypotheses in high-dimensional linear regression models with measurement errors. This method re…
Robust Inference for High-dimensional Linear Models with Heavy-tailed Errors via Partial Gini Covariance
Yilin Zhang, Songshan Yang, Yunan Wu +1
This paper introduces the partial Gini covariance, a novel dependence measure that addresses the challenges of high-dimensional inference with heavy-tailed errors, often encountere…