90 citations · 100 across the 17 of their papers we have counts for
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3 papers · 1 filter
stat.ME2020★ 2 cited
Confidence intervals for parameters in high-dimensional sparse vector autoregression
Ke Zhu, Hanzhong Liu
Vector autoregression (VAR) models are widely used to analyze the interrelationship between multiple variables over time. Estimation and inference for the transition matrices of VA…
econ.EM2020★ 1 cited
Testing error distribution by kernelized Stein discrepancy in multivariate time series models
Donghang Luo, Ke Zhu, Huan Gong +1
Knowing the error distribution is important in many multivariate time series applications. To alleviate the risk of error distribution mis-specification, testing methodologies are…
econ.EM2020
Multi-frequency-band tests for white noise under heteroskedasticity
Mengya Liu, Fukan Zhu, Ke Zhu
This paper proposes a new family of multi-frequency-band (MFB) tests for the white noise hypothesis by using the maximum overlap discrete wavelet packet transform (MODWPT). The MOD…