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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:16/0  |  Submit date:2022/04/29
Asset selection  High frequency Sharpe ratio  Ultrahigh dimensional  Serial correlation  Sure screening property  
Joint feature screening for ultra-high-dimensional sparse additive hazards model by the sparsity-restricted pseudo-score estimator 期刊论文
ANNALS OF THE INSTITUTE OF STATISTICAL MATHEMATICS, 2019, 卷号: 71, 期号: 5, 页码: 1007-1031
Authors:  Chen, Xiaolin;  Liu, Yi;  Wang, Qihua
Favorite  |  View/Download:86/0  |  Submit date:2020/01/10
Additive hazards model  Joint feature screening  Iterative hard-thresholding algorithm  Sure screening property  
Parameter Estimation and Variable Selection for Big Systems of Linear Ordinary Differential Equations: A Matrix-Based Approach 期刊论文
JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION, 2019, 卷号: 114, 期号: 526, 页码: 657-667
Authors:  Wu, Leqin;  Qiu, Xing;  Yuan, Ya-xiang;  Wu, Hulin
Favorite  |  View/Download:61/0  |  Submit date:2020/01/10
Complex system  Eigenvalue updating algorithm  High dimension  Matrix-based variable selection  Ordinary differential equation  Separable least squares  
Sure feature screening for high-dimensional dichotomous classification 期刊论文
SCIENCE CHINA-MATHEMATICS, 2016, 卷号: 59, 期号: 12, 页码: 2527-2542
Authors:  Shao Li;  Yu Yuan;  Zhou Yong
Favorite  |  View/Download:46/0  |  Submit date:2018/07/30
ultra-high dimensional data  dichotomous classification  sure screening property