相关论文: Quantile factor analysis for large-dimensional tim…
Motivated by practical applications, we explore the constrained multi-period mean-variance portfolio selection problem within a market characterized by a dynamic factor model. This model captures predictability in asset returns driven by…
We propose a generalization of the linear panel quantile regression model to accommodate both \textit{sparse} and \textit{dense} parts: sparse means while the number of covariates available is large, potentially only a much smaller number…
This paper develops an inferential theory for state-varying factor models of large dimensions. Unlike constant factor models, loadings are general functions of some recurrent state process. We develop an estimator for the latent factors and…
Quantile regression is a fundamental problem in statistical learning motivated by a need to quantify uncertainty in predictions, or to model a diverse population without being overly reductive. For instance, epidemiological forecasts, cost…
Latent or unobserved phenomena pose a significant difficulty in data analysis as they induce complicated and confounding dependencies among a collection of observed variables. Factor analysis is a prominent multivariate statistical modeling…
Factor modeling is a powerful statistical technique that permits to capture the common dynamics in a large panel of data with a few latent variables, or factors, thus alleviating the curse of dimensionality. Despite its popularity and…
In risk management it is desirable to grasp the essential statistical features of a time series representing a risk factor. This tutorial aims to introduce a number of different stochastic processes that can help in grasping the essential…
We propose a Bayesian propensity score-augmented latent factor model for causal inference with time-series cross-sectional data. The framework explicitly models the treatment assignment mechanism by incorporating latent factor loadings,…
Quantile regression is a very important tool to explore the relationship between the response variable and its covariates. Motivated by mean regression with LASSO for compositional covariates proposed by Lin et al. (2014), we consider…
On a periodic basis, publicly traded companies are required to report fundamentals: financial data such as revenue, operating income, debt, among others. These data points provide some insight into the financial health of a company.…
We introduce novel estimators for quantile causal effects with high dimensional panel data (large $N$ and $T$), where only one or a few units are affected by the intervention or policy. Our method extends the generalized synthetic control…
The information flow-based quantitative causality analysis has been widely applied in different disciplines because of its origin from first principles, its concise form, and its computational efficiency. So far the algorithm for its…
Since survival data occur over time, often important covariates that we wish to consider also change over time. Such covariates are referred as time-dependent covariates. Quantile regression offers flexible modeling of survival data by…
Functional quantile regression (FQR) is a useful alternative to mean regression for functional data as it provides a comprehensive understanding of how scalar predictors influence the conditional distribution of functional responses. In…
High-dimensional matrix-variate time series data are becoming widely available in many scientific fields, such as economics, biology, and meteorology. To achieve significant dimension reduction while preserving the intrinsic matrix…
Matrix-variate data of high dimensions are frequently observed in finance and economics, spanning extended time periods, such as the long-term data on international trade flows among numerous countries. To address potential structural…
This article proposes a new approach to modeling high-dimensional time series by treating a $p$-dimensional time series as a nonsingular linear transformation of certain common factors and idiosyncratic components. Unlike the approximate…
Large-scale matrix data has been widely discovered and continuously studied in various fields recently. Considering the multi-level factor structure and utilizing the matrix structure, we propose a multilevel matrix factor model with both…
The matrix factor model has drawn growing attention for its advantage in achieving two-directional dimension reduction simultaneously for matrix-structured observations. In this paper, we propose a simple iterative least squares algorithm…
Latent factor models are widely used to measure unobserved latent traits in social and behavioral sciences, including psychology, education, and marketing. When used in a confirmatory manner, design information is incorporated, yielding…