2 papers
math.ST2023
Multiple Testing under High-dimensional Dynamic Factor Model
Xinxin Yang, Lilun Du
Large-scale multiple testing under static factor models is widely used to detect sparse signals in high-dimensional data. However, static factor models are arguably too stringent b…
math.ST2017
Testing High-dimensional Covariance Matrices under the Elliptical Distribution and Beyond
Xinxin Yang, Xinghua Zheng, Jiaqi Chen
We develop tests for high-dimensional covariance matrices under a generalized elliptical model. Our tests are based on a central limit theorem (CLT) for linear spectral statistics…