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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…
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…