18 citations · 23 across the 4 of their papers we have counts for
8 papers
Supervised Homogeneity Fusion: a Combinatorial Approach
Wen Wang, Shihao Wu, Ziwei Zhu +2
Fusing regression coefficients into homogenous groups can unveil those coefficients that share a common value within each group. Such groupwise homogeneity reduces the intrinsic di…
Volatility prediction comparison via robust volatility proxies: An empirical deviation perspective
Weichen Wang, Ran An, Ziwei Zhu
Volatility forecasting is crucial to risk management and portfolio construction. One particular challenge of assessing volatility forecasts is how to construct a robust proxy for t…
Learning Markov models via low-rank optimization
Ziwei Zhu, Xudong Li, Mengdi Wang +1
Modeling unknown systems from data is a precursor of system optimization and sequential decision making. In this paper, we focus on learning a Markov model from a single trajectory…
High-dimensional principal component analysis with heterogeneous missingness
Ziwei Zhu, Tengyao Wang, Richard J. Samworth
We study the problem of high-dimensional Principal Component Analysis (PCA) with missing observations. In simple, homogeneous missingness settings with a noise level of constant or…
Robust high dimensional factor models with applications to statistical machine learning
Jianqing Fan, Kaizheng Wang, Yiqiao Zhong +1
Factor models are a class of powerful statistical models that have been widely used to deal with dependent measurements that arise frequently from various applications from genomic…
Principal component analysis for big data
Jianqing Fan, Qiang Sun, Wen-Xin Zhou +1
Big data is transforming our world, revolutionizing operations and analytics everywhere, from financial engineering to biomedical sciences. The complexity of big data often makes d…