9 papers
Testing Alpha in High-Dimensional Conditional Time-Varying Factor Models with Dependent Observations
Long Feng, Huifang Ma, Zhaojun Wang
This paper studies alpha testing in a high-dimensional conditional time-varying factor model with temporally dependent observations. Both factor loadings and alpha processes are al…
Tensor Elliptical Graphic Model
Jixuan Liu, Zhengke Lu, Le Zhou +2
We address the problem of robust estimation of sparse high dimensional tensor elliptical graphical model. Most of the research focus on tensor graphical model under normality. To e…
Spatial-Sign based High dimensional Change Point Inference
Jixuan Liu, Long Feng, Liuhua Peng +1
High-dimensional changepoint inference, adaptable to diverse alternative scenarios, has attracted significant attention in recent years. In this paper, we propose an adaptive and r…
Spatial-Sign based Maxsum Test for High Dimensional Location Parameters
Jixuan Liu, Long Feng, Ping Zhao +1
In this study, we explore a robust testing procedure for the high-dimensional location parameters testing problem. Initially, we introduce a spatial-sign based max-type test statis…
Robust Mutual Fund Selection with False Discovery Rate Control
Hongfei Wang, Long Feng, Ping Zhao +1
In this article, we address the challenge of identifying skilled mutual funds among a large pool of candidates, utilizing the linear factor pricing model. Assuming observable facto…
Adaptive Sphericity Tests for High Dimensional Data
Ping Zhao, Wenwan Yang, Long Feng +1
In this paper, we investigate sphericity testing in high-dimensional settings, where existing methods primarily rely on sum-type test procedures that often underperform under spars…