5 papers
Factor-Adjusted Multiple Testing for High-Dimensional Individual Mediation Effects
Chen Shi, Zhao Chen, Christina Dan Wang
Identifying individual mediators is a central goal of high-dimensional mediation analysis, yet pervasive dependence among mediators can invalidate standard debiased inference and l…
Holistic Multi-Scale Inference of the Leverage Effect: Efficiency under Dependent Microstructure Noise
Ziyang Xiong, Zhao Chen, Christina Dan Wang
This paper addresses the long-standing challenge of estimating the leverage effect from high-frequency data contaminated by dependent, non-Gaussian microstructure noise. We depart…
Goodness-of-fit Tests for Heavy-tailed Random Fields
Ying Niu, Zhao Chen, Christina Dan Wang +1
We develop goodness-of-fit tests for max-stable random fields, which are used to model heavy-tailed spatial data. The test statistics are constructed based on the Fourier transform…
Asymptotic Theory for Regularized Estimation in Functional Time Series Models
Ying Niu, Yuwei Zhao, Zhao Chen +1
Functional autoregressive (FAR) models provide a fundamental framework for analyzing temporally dependent functional data. However, the infinite-dimensional nature of the underlyin…
Robust Estimation of Double Autoregressive Models via Normal Mixture QMLE
Zhao Chen, Chen Shi, Christina Dan Wang
This paper investigates the estimation of the double autoregressive (DAR) model in the presence of skewed and heavy-tailed innovations. We propose a novel Normal Mixture Quasi-Maxi…