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math.ST2017
Inverse Moment Methods for Sufficient Forecasting using High-Dimensional Predictors
Wei Luo, Lingzhou Xue, Jiawei Yao +1
We consider forecasting a single time series using a large number of predictors in the presence of a possible nonlinear forecast function. Assuming that the predictors affect the r…
math.ST2014★ 25 cited
On efficient dimension reduction with respect to a statistical functional of interest
Wei Luo, Bing Li, Xiangrong Yin
We introduce a new sufficient dimension reduction framework that targets a statistical functional of interest, and propose an efficient estimator for the semiparametric estimation…