26 citations · 44 across the 3 of their papers we have counts for
3 papers
stat.ME2020★ 4 cited
Testing and Support Recovery of Correlation Structures for Matrix-Valued Observations with an Application to Stock Market Data
Xin Chen, Dan Yang, Yan Xu +3
Estimation of the covariance matrix of asset returns is crucial to portfolio construction. As suggested by economic theories, the correlation structure among assets differs between…
stat.CO2017★ 26 cited
Distributed Estimation of Principal Eigenspaces
Jianqing Fan, Dong Wang, Kaizheng Wang +1
Principal component analysis (PCA) is fundamental to statistical machine learning. It extracts latent principal factors that contribute to the most variation of the data. When data…
stat.ME2016★ 14 cited
Factor Models for Matrix-Valued High-Dimensional Time Series
Dong Wang, Xialu Liu, Rong Chen
In finance, economics and many other fields, observations in a matrix form are often observed over time. For example, many economic indicators are obtained in different countries o…