3 papers
stat.ME2018
Multi-threshold Change Plane Model: Estimation Theory and Applications in Subgroup Identification
Jialiang Li, Yaguang Li, Baisuo Jin
We propose a multi-threshold change plane regression model which naturally partitions the observed subjects into subgroups with different covariate effects. The underlying grouping…
math.ST2018
Copula-based Partial Correlation Screening: a Joint and Robust Approach
Xiaochao Xia, Jialiang Li
Screening for ultrahigh dimensional features may encounter complicated issues such as outlying observations, heteroscedasticity or heavy-tailed distribution, multi-collinearity and…
stat.ME2016
Factor Models for Asset Returns Based on Transformed Factors
Efang Kong, Jialiang Li, Wenyang Zhang
The Fama-French three factor models are commonly used in the description of asset returns in finance. Statistically speaking, the Fama-French three factor models imply that the ret…