research
∙
02/23/2023
Efficiently handling constraints with Metropolis-adjusted Langevin algorithm
In this study, we investigate the performance of the Metropolis-adjusted...
share
research
∙
09/13/2021
Regression Analysis of Correlations for Correlated Data
Correlated data are ubiquitous in today's data-driven society. A fundame...
research
∙
06/16/2021
Pre-processing with Orthogonal Decompositions for High-dimensional Explanatory Variables
Strong correlations between explanatory variables are problematic for hi...
research
∙
02/18/2021
Adjusting the Benjamini-Hochberg method for controlling the false discovery rate in knockoff assisted variable selection
This paper revisits the knockoff-based multiple testing setup considered...
research
∙
03/25/2020
Missing at Random or Not: A Semiparametric Testing Approach
Practical problems with missing data are common, and statistical methods...
research
∙
01/23/2019
High-dimensional Interactions Detection with Sparse Principal Hessian Matrix
In statistical methods, interactions are the contributions from the prod...
research
∙
12/19/2018
Optimal covariance matrix estimation for high-dimensional noise in high-frequency data
In this paper, we consider efficiently learning the structural informati...
research
∙
05/28/2018
High-dimensional statistical inferences with over-identification: confidence set estimation and specification test
Over-identification is a signature feature of the influential Generalize...
research
∙
04/25/2018
Disentangling and Assessing Uncertainties in Multiperiod Corporate Default Risk Predictions
Measuring the corporate default risk is broadly important in economics a...
research
∙
01/20/2018
A frequency domain analysis of the error distribution from noisy high-frequency data
Data observed at high sampling frequency are typically assumed to be an ...
research
∙
05/11/2016