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stat.ME2018
New HSIC-based tests for independence between two stationary multivariate time series
Guochang Wang, Wai Keung Li, Ke Zhu
This paper proposes some novel one-sided omnibus tests for independence between two multivariate stationary time series. These new tests apply the Hilbert-Schmidt independence crit…
stat.ME2017
On a spiked model for large volatility matrix estimation from noisy high-frequency data
Keren Shen, Jianfeng Yao, Wai Keung Li
Recently, inference about high-dimensional integrated covariance matrices (ICVs) based on noisy high-frequency data has emerged as a challenging problem. In the literature, a pre-a…