2 papers
econ.EM2025
High-Dimensional Spatial Arbitrage Pricing Theory with Heterogeneous Interactions
Zhaoxing Gao, Sihan Tu, Ruey S. Tsay
This paper investigates estimation and inference of a Spatial Arbitrage Pricing Theory (SAPT) model that integrates spatial interactions with multi-factor analysis, accommodating b…
econ.EM2025
A Supervised Screening and Regularized Factor-Based Method for Time Series Forecasting
Sihan Tu, Zhaoxing Gao
Factor-based forecasting using Principal Component Analysis (PCA) is an effective machine learning tool for dimension reduction with many applications in statistics, economics, and…