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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
Adobe PDF | Favorite |  | 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 | 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  
Term Selection for a Class of Separable Nonlinear Models Journal article
Min Gan, Guang-Yong Chen, Long Chen, C. L. Philip Chen. Term Selection for a Class of Separable Nonlinear Models[J]. IEEE Transactions on Neural Networks and Learning Systems, 2020, 31(2), 445-451.
Authors:  Min Gan;  Guang-Yong Chen;  Long Chen;  C. L. Philip Chen
Favorite | TC[WOS]:70 TC[Scopus]:71  IF:10.2/10.4 | Submit date：2021/03/09
Least Absolute Shrinkage And Selection Operator (Lasso)  Separable Nonlinear Models  Sparse Solution  Variable Projection (Vp)