4 citations · 5 across the 6 of their papers we have counts for
6 papers · 1 filter
Revised BDS Test
Wenya Luo, Zhidong Bai, Jiang Hu +1
In this paper, we focus on the BDS test, which is a nonparametric test of independence. Specifically, the null hypothesis of it is that is i.i.d. (independent a…
On singular values of data matrices with general independent columns
Tianxing Mei, Chen Wang, Jianfeng Yao
In this paper, we analyse singular values of a large data matrix where the column 's are indep…
Alternative asymptotics for cointegration tests in large VARs
Alexei Onatski, Chen Wang
Johansen's (1988, 1991) likelihood ratio test for cointegration rank of a Gaussian VAR depends only on the squared sample canonical correlations between current changes and past le…
On testing the equality of high dimensional mean vectors with unequal covariance matrices
Jiang Hu, Zhidong Bai, Chen Wang +1
In this article, we focus on the problem of testing the equality of several high dimensional mean vectors with unequal covariance matrices. This is one of the most important proble…
A Note on the Limiting Spectral Distribution of a Symmetrized Auto-Cross Covariance Matrix
Zhidong Bai, Chen Wang
In Jin et al. (2014), the limiting spectral distribution (LSD) of a symmetrized auto-cross covariance matrix is derived using matrix manipulation, with finite -th moment ass…
Strong limit of the extreme eigenvalues of a symmetrized auto-cross covariance matrix
Chen Wang, Baisuo Jin, Z. D. Bai +2
The auto-cross covariance matrix is defined as \[\mathbf{M}_n=\frac{1} {2T}\sum_{j=1}^T\bigl(\mathbf{e}_j\mathbf{e}_{j+τ}^*+\mathbf{e}_{j+ τ}\mathbf{e}_j^*\bigr),\] where $\mathbf{…