20 citations · 61 across the 11 of their papers we have counts for
11 papers
Likelihood ratio test for structural changes in factor models
Jushan Bai, Jiangtao Duan, Xu Han
A factor model with a break in its factor loadings is observationally equivalent to a model without changes in the loadings but a change in the variance of its factors. This effect…
Pre-processing with Orthogonal Decompositions for High-dimensional Explanatory Variables
Xu Han, Ethan X Fang, Cheng Yong Tang
Strong correlations between explanatory variables are problematic for high-dimensional regularized regression methods. Due to the violation of the Irrepresentable Condition, the po…
Nonparametric Empirical Bayes Estimation and Testing for Sparse and Heteroscedastic Signals
Junhui Cai, Xu Han, Ya'acov Ritov +1
Large-scale modern data often involves estimation and testing for high-dimensional unknown parameters. It is desirable to identify the sparse signals, ``the needles in the haystack…
Skilled Mutual Fund Selection: False Discovery Control under Dependence
Lijia Wang, Xu Han, Xin Tong
Selecting skilled mutual funds through the multiple testing framework has received increasing attention from finance researchers and statisticians. The intercept of Carhart fou…
Quasi-maximum likelihood estimation of break point in high-dimensional factor models
Jiangtao Duan, Jushan Bai, Xu Han
This paper estimates the break point for large-dimensional factor models with a single structural break in factor loadings at a common unknown date. First, we propose a quasi-maxim…
An Upper Bound for Functions of Estimators in High Dimensions
Mehmet Caner, Xu Han
We provide an upper bound as a random variable for the functions of estimators in high dimensions. This upper bound may help establish the rate of convergence of functions in high…