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Asset selection based on high frequency Sharpe ratio 期刊论文
JOURNAL OF ECONOMETRICS, 2022, 卷号: 227, 期号: 1, 页码: 168-188
Authors:  Wang, Christina Dan;  Chen, Zhao;  Lian, Yimin;  Chen, Min
Favorite  |  View/Download:47/0  |  Submit date:2022/04/29
Asset selection  High frequency Sharpe ratio  Ultrahigh dimensional  Serial correlation  Sure screening property  
Linear screening for high-dimensional computer experiments 期刊论文
STAT, 2021, 卷号: 10, 期号: 1, 页码: 9
Authors:  Li, Chunya;  Chen, Daijun;  Xiong, Shifeng
Favorite  |  View/Download:32/0  |  Submit date:2022/04/02
best linear approximation  best subset regression  nonlinear model  sure independence screening  
Model-free feature screening for ultrahigh-dimensional data conditional on some variables 期刊论文
ANNALS OF THE INSTITUTE OF STATISTICAL MATHEMATICS, 2018, 卷号: 70, 期号: 2, 页码: 283-301
Authors:  Liu, Yi;  Wang, Qihua
Favorite  |  View/Download:110/0  |  Submit date:2018/07/30
Conditional distance correlation  Feature selection  Sure screening property  High-dimensional data  
Cluster feature selection in high-dimensional linear models 期刊论文
RANDOM MATRICES-THEORY AND APPLICATIONS, 2018, 卷号: 7, 期号: 1, 页码: 23
Authors:  Lin, Bingqing;  Pang, Zhen;  Wang, Qihua
Favorite  |  View/Download:108/0  |  Submit date:2018/07/30
Variable selection  variable screening  SIS  elastic net  
SEVIS方法的局部线性估计及其在超高维数据下的应用 期刊论文
应用数学学报, 2018, 卷号: 041, 期号: 001, 页码: 1
Authors:  连亦旻;  陈钊;  舒明良
Favorite  |  View/Download:77/0  |  Submit date:2020/01/10
Sure explained variability and independence screening 期刊论文
JOURNAL OF NONPARAMETRIC STATISTICS, 2017, 卷号: 29, 期号: 4, 页码: 849-883
Authors:  Chen, Min;  Lian, Yimin;  Chen, Zhao;  Zhang, Zhengjun
Favorite  |  View/Download:93/0  |  Submit date:2018/07/30
Feature screening  sure screening property  generalised measures of correlation  nonparametric inference  model-free approach