1 citations · 1 across the 2 of their papers we have counts for
2 papers
stat.ME2015
A Dynamic Structure for High Dimensional Covariance Matrices and its Application in Portfolio Allocation
Shaojun Guo, John Box, Wenyang Zhang
Estimation of high dimensional covariance matrices is an interesting and important research topic. In this paper, we propose a dynamic structure and develop an estimation procedure…
math.ST2015★ 1 cited
A Double AR Model Without Intercept: an Alternative to Modeling Nonstationarity and Heteroscedasticity
Dong Li, Shaojun Guo, Ke Zhu
This paper presents a double AR model without intercept (DARWIN model) and provides us a new way to study the non-stationary heteroskedastic time series. It is shown that the DARWI…