47 citations · 50 across the 11 of their papers we have counts for
4 papers · 1 filter
Uncertainty Learning for High-dimensional Mean-variance Portfolio
Ruike Wu, Yanrong Yang, Han Lin Shang +1
Robust estimation for modern portfolio selection on a large set of assets becomes more important due to large deviation of empirical inference on big data. We propose a distributio…
Homogeneity and Sub-homogeneity Pursuit: Iterative Complement Clustering PCA
Daning Bi, Le Chang, Yanrong Yang
Principal component analysis (PCA), the most popular dimension-reduction technique, has been used to analyze high-dimensional data in many areas. It discovers the homogeneity withi…
AR-sieve Bootstrap for High-dimensional Time Series
Daning Bi, Han Lin Shang, Yanrong Yang +1
This paper proposes a new AR-sieve bootstrap approach to high-dimensional time series. The major challenge of classical bootstrap methods on high-dimensional time series is two-fol…
Forecasting high-dimensional functional time series with dual-factor structures
Chen Tang, Han Lin Shang, Yanrong Yang +1
We propose a dual-factor model for high-dimensional functional time series (HDFTS) that considers multiple populations. The HDFTS is first decomposed into a collection of functiona…