6 papers
Factor and Idiosyncratic VAR Volatility Matrix Models for Heavy-Tailed High-Frequency Financial Observations
Minseok Shin, Donggyu Kim, Yazhen Wang +1
This paper introduces a novel process for both factor and idiosyncratic volatility matrices whose eigenvalues follow the vector auto-regressive (VAR) model. We call it the factor a…
Bernstein's inequalities for general Markov chains
Bai Jiang, Qiang Sun, Jianqing Fan
We establish Bernstein's inequalities for functions of general (general-state-space and possibly non-reversible) Markov chains. These inequalities achieve sharp variance proxies an…
Isotonic Mechanism for Exponential Family Estimation in Machine Learning Peer Review
Yuling Yan, Weijie J. Su, Jianqing Fan
In 2023, the International Conference on Machine Learning (ICML) required authors with multiple submissions to rank their submissions based on perceived quality. In this paper, we…
Environment Invariant Linear Least Squares
Jianqing Fan, Cong Fang, Yihong Gu +1
This paper considers a multi-environment linear regression model in which data from multiple experimental settings are collected. The joint distribution of the response variable an…
UTOPIA: Universally Trainable Optimal Prediction Intervals Aggregation
Jianqing Fan, Jiawei Ge, Debarghya Mukherjee
Uncertainty quantification in prediction presents a compelling challenge with vast applications across various domains, including biomedical science, economics, and weather forecas…
Communication-Efficient Distributed Estimation and Inference for Cox's Model
Pierre Bayle, Jianqing Fan, Zhipeng Lou
Motivated by multi-center biomedical studies that cannot share individual data due to privacy and ownership concerns, we develop communication-efficient iterative distributed algor…