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stat.ME2018
Functional Linear Regression: Dependence and Error Contamination
Cheng Chen, Shaojun Guo, Xinghao Qiao
Functional linear regression is an important topic in functional data analysis. It is commonly assumed that samples of the functional predictor are independent realizations of an u…
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…