18 citations · 23 across the 4 of their papers we have counts for
4 papers
A New Wald Test for Hypothesis Testing Based on MCMC outputs
Yong Li, Xiaobin Liu, Jun Yu +1
In this paper, a new and convenient wald test based on MCMC outputs is proposed for hypothesis testing. The new statistic can be explained as MCMC version of Wald test and ha…
Model Selection for Explosive Models
Yubo Tao, Jun Yu
This paper examines the limit properties of information criteria (such as AIC, BIC, HQIC) for distinguishing between the unit root model and the various kinds of explosive models.…
Shrinkage estimation of covariance matrix for portfolio choice with high frequency data
Cheng Liu, Ningning Xia, Jun Yu
This paper examines the usefulness of high frequency data in estimating the covariance matrix for portfolio choice when the portfolio size is large. A computationally convenient no…
Bayesian and empirical Bayesian forests
Matt Taddy, Chun-Sheng Chen, Jun Yu +1
We derive ensembles of decision trees through a nonparametric Bayesian model, allowing us to view random forests as samples from a posterior distribution. This insight provides lar…