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High dimensional covariance matrices under dynamic volatility models: asymptotics and shrinkage estimation
Journal article
DING YI, ZHENG, Xinghua. High dimensional covariance matrices under dynamic volatility models: asymptotics and shrinkage estimation[J]. The Annals of Statistics, 2024, 52, 1027–1049.
Authors:
DING YI
;
ZHENG, Xinghua
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Submit date:2024/08/23
High-dimension
Dynamic Volatility Model
Sample Covariance Matrix
Spectral Distribution
Nonlinear Shrinkage
HIGH-DIMENSIONAL COVARIANCE MATRICES UNDER DYNAMIC VOLATILITY MODELS: ASYMPTOTICS AND SHRINKAGE ESTIMATION
Journal article
DING YI, Xinghua Zheng. HIGH-DIMENSIONAL COVARIANCE MATRICES UNDER DYNAMIC VOLATILITY MODELS: ASYMPTOTICS AND SHRINKAGE ESTIMATION[J]. Annals of Statistics, 2024, 52(3), 1027-1049.
Authors:
DING YI
;
Xinghua Zheng
Favorite
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TC[WOS]:
0
TC[Scopus]:
1
IF:
3.2
/
4.8
|
Submit date:2024/06/17
Dynamic Volatility Model
High-dimension
Nonlinear Shrinkage
Sample Covariance Matrix
Spectral Distribution
Divide-and-Conquer Solver in Tensor-Train Format for d-Dimensional Time-Space Fractional Diffusion Equations
Journal article
Huang,Yun Chi, Chou,Lot Kei, Lei,Siu Long. Divide-and-Conquer Solver in Tensor-Train Format for d-Dimensional Time-Space Fractional Diffusion Equations[J]. Journal of Scientific Computing, 2023, 96(1), 29.
Authors:
Huang,Yun Chi
;
Chou,Lot Kei
;
Lei,Siu Long
Favorite
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TC[WOS]:
0
TC[Scopus]:
0
IF:
2.8
/
2.7
|
Submit date:2023/08/03
Alternating Direction Implicit Scheme
Divide-and-conquer
High Dimension
Tensor-train Format
Time-space Fractional Diffusion Equations
A robust Glasso approach to portfolio selection in high dimensions
Journal article
Wenliang Ding, Lianjie Shu, Xinhua Gu. A robust Glasso approach to portfolio selection in high dimensions[J]. Journal of Empirical Finance, 2022, 70, 22-37.
Authors:
Wenliang Ding
;
Lianjie Shu
;
Xinhua Gu
Favorite
|
TC[WOS]:
2
TC[Scopus]:
2
IF:
2.1
/
3.0
|
Submit date:2023/02/10
Data Contamination
Glasso
Hedge Relation
High Dimension
Portfolio Selection
Robust Estimation
Surface Cracking and Fractal Characteristics of Cement Paste after Exposure to High Temperatures
Journal article
Li, Li, Zhang, Yang, Shi, Yuqiong, Xue, Zhigang, Cao, Mingli. Surface Cracking and Fractal Characteristics of Cement Paste after Exposure to High Temperatures[J]. Fractal and Fractional, 2022, 6(9), 465.
Authors:
Li, Li
;
Zhang, Yang
;
Shi, Yuqiong
;
Xue, Zhigang
;
Cao, Mingli
Favorite
|
TC[WOS]:
27
TC[Scopus]:
28
IF:
3.6
/
3.5
|
Submit date:2022/10/06
Cracking Characteristics
High Temperatures
Image Processing
Fractal Dimension
High dimensional Riesz space distributed-order advection-dispersion equations with ADI scheme in compression format
Journal article
Chou, L. K., Lei, S. L.. High dimensional Riesz space distributed-order advection-dispersion equations with ADI scheme in compression format[J]. Electronic Research Archive, 2022, 30(4), 1463-1476.
Authors:
Chou, L. K.
;
Lei, S. L.
Favorite
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TC[WOS]:
0
TC[Scopus]:
0
IF:
1.0
/
1.0
|
Submit date:2022/07/27
High Dimension
Advection-dispersion Equations
Riesz Fractional Derivative
Distributed-order
Alternating Direction Implicit Method
Compression Format
Hyper-parameter Analysis of the Improved Deep Embedding Clustering Model
Conference paper
Feng,Qiying, Chen,C. L.Philip, Zhou,Jin. Hyper-parameter Analysis of the Improved Deep Embedding Clustering Model[C], 2018, 57-60.
Authors:
Feng,Qiying
;
Chen,C. L.Philip
;
Zhou,Jin
Favorite
|
TC[Scopus]:
1
|
Submit date:2021/03/09
Auto-encoder
Deep Learning
high-dimension real-world clustering
student-t distribution
A fast convex hull algorithm inspired by human visual perception
Journal article
Liu, Runzong, Tang, Yuan Yan, Chan, Patrick P. K.. A fast convex hull algorithm inspired by human visual perception[J]. MULTIMEDIA TOOLS AND APPLICATIONS, 2018, 77(23), 31221-31237.
Authors:
Liu, Runzong
;
Tang, Yuan Yan
;
Chan, Patrick P. K.
Favorite
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TC[WOS]:
2
TC[Scopus]:
4
IF:
3.0
/
2.9
|
Submit date:2019/01/17
Convex Hull
Computational Geometry
Affine Transformation
Point Pattern
High Dimension
Sure screening by ranking the canonical correlations
Journal article
Kong, Xin-Bing, Liu, Zhi, Yao, Yuan, Zhou, Wang. Sure screening by ranking the canonical correlations[J]. TEST, 2017, 26(1), 46-70.
Authors:
Kong, Xin-Bing
;
Liu, Zhi
;
Yao, Yuan
;
Zhou, Wang
Favorite
|
TC[WOS]:
3
TC[Scopus]:
5
IF:
1.2
/
2.2
|
Submit date:2018/10/30
High Dimension
Correlation
Group Screening
Sure screening by ranking the canonical correlations
Journal article
Kong,Xin Bing, Liu,Zhi, Yao,Yuan, Zhou,Wang. Sure screening by ranking the canonical correlations[J]. Test, 2017, 26(1), 46-70.
Authors:
Kong,Xin Bing
;
Liu,Zhi
;
Yao,Yuan
;
Zhou,Wang
Favorite
|
TC[WOS]:
3
TC[Scopus]:
5
IF:
1.2
/
2.2
|
Submit date:2021/03/11
Correlation
Group Screening
High Dimension