4.7 Article

Asymptotic Normality in Linear Regression with Approximately Sparse Structure

Related references

Note: Only part of the references are listed.
Article Mathematics

Variational Bayesian Inference in High-Dimensional Linear Mixed Models

Jieyi Yi et al.

Summary: In this paper, a variational Bayesian approach is proposed to simultaneously select variables and estimate parameters in high-dimensional linear mixed models. Compared to traditional methods, this approach is more efficient and flexible. Simulation studies and an empirical analysis demonstrate the performance and practicality of the proposed method.

MATHEMATICS (2022)

Article Economics

Forecasting stock return volatility: The role of shrinkage approaches in a data-rich environment

Zhifeng Dai et al.

Summary: This paper employs shrinkage approaches to predict stock return volatility and finds that these methods outperform other models in terms of performance and confidence. Furthermore, using shrinkage methods for portfolio allocation results in significant economic gains.

JOURNAL OF FORECASTING (2022)

Article Mathematics

Machine Learning Regularization Methods in High-Dimensional Monetary and Financial VARs

Javier Sanchez Garcia et al.

Summary: Vector autoregressions (VARs) and their variants are standard models in economic and financial research, but estimating high-dimensional models presents challenges. This paper explores machine learning regularization methods as an alternative to traditional methods, finding that they perform better in forecasting and impulse response analysis. Regularization structures allowing for high-dimensional models outperform standard Bayesian methods in nowcasting and forecasting.

MATHEMATICS (2022)

Article Economics

Time-varying spillover effects and investment strategies between WTI crude oil, natural gas and Chinese stock markets related to belt and road initiative

Zhifeng Dai et al.

Summary: This study investigates the relationships among WTI crude oil futures, Natural Gas futures, and the Chinese stock markets related to the Belt and Road initiative. The results show a high interdependence among these assets, and an increase in total volatility spillover during major crisis events. Additionally, the study finds that WTI crude oil futures and Natural Gas futures are low-cost hedging tools.

ENERGY ECONOMICS (2022)

Article Economics

Dynamic spillover effects and portfolio strategies between crude oil, gold and Chinese stock markets related to new energy vehicle

Zhifeng Dai et al.

Summary: This paper investigates the volatility spillover effects and dynamic relationships among WTI crude oil, gold, and the Chinese stock markets of new energy vehicle, environmental protection, new energy, coal & consumable fuels, high and new technology. The study finds a high interdependence among all analyzed assets, and the total volatility spillover increases sharply during major crisis events.

ENERGY ECONOMICS (2022)

Article Statistics & Probability

Estimation and optimal structure selection of high-dimensional Toeplitz covariance matrix

Yihe Yang et al.

Summary: A novel statistical method is proposed in this paper, which selects the optimal Toeplitz covariance structure and estimates the covariance matrix simultaneously through the minimization of an entropy loss function with nonconvex penalty. The resulting Toeplitz structured covariance estimators are guaranteed to be positive definite and consistent, showing very accurate estimation results in practice.

JOURNAL OF MULTIVARIATE ANALYSIS (2021)

Article Economics

Inference for high-dimensional instrumental variables regression

David Gold et al.

JOURNAL OF ECONOMETRICS (2020)

Article Statistics & Probability

MODEL SELECTION FOR HIGH-DIMENSIONAL LINEAR REGRESSION WITH DEPENDENT OBSERVATIONS

Ching-Kang Ing

ANNALS OF STATISTICS (2020)

Article Statistics & Probability

ADAPTIVE ESTIMATION OF THE SPARSITY IN THE GAUSSIAN VECTOR MODEL

Alexandra Carpentier et al.

ANNALS OF STATISTICS (2019)

Article Statistics & Probability

A note on the distribution of the product of zero-mean correlated normal random variables

Robert E. Gaunt

STATISTICA NEERLANDICA (2019)

Article Mathematics, Applied

Spectral properties of Kac-Murdock-Szego matrices with a complex parameter

George Fikioris

LINEAR ALGEBRA AND ITS APPLICATIONS (2018)

Article Statistics & Probability

Products of normal, beta and gamma random variables: Stein operators and distributional theory

Robert E. Gaunt

BRAZILIAN JOURNAL OF PROBABILITY AND STATISTICS (2018)

Article Statistics & Probability

EigenPrism: inference for high dimensional signal-to-noise ratios

Lucas Janson et al.

JOURNAL OF THE ROYAL STATISTICAL SOCIETY SERIES B-STATISTICAL METHODOLOGY (2017)

Article Biology

Variance estimation in high-dimensional linear models

Lee H. Dicker

BIOMETRIKA (2014)

Article Statistics & Probability

Variance-Gamma approximation via Stein's method

Robert E. Gaunt

ELECTRONIC JOURNAL OF PROBABILITY (2014)

Article Statistics & Probability

Confidence intervals for low dimensional parameters in high dimensional linear models

Cun-Hui Zhang et al.

JOURNAL OF THE ROYAL STATISTICAL SOCIETY SERIES B-STATISTICAL METHODOLOGY (2014)

Article Engineering, Electrical & Electronic

Expectation-Maximization Gaussian-Mixture Approximate Message Passing

Jeremy P. Vila et al.

IEEE TRANSACTIONS ON SIGNAL PROCESSING (2013)

Article Computer Science, Interdisciplinary Applications

Relaxed lasso

Nicolai Meinshausen

COMPUTATIONAL STATISTICS & DATA ANALYSIS (2007)

Article Statistics & Probability

The adaptive lasso and its oracle properties

Hui Zou

JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION (2006)

Article Multidisciplinary Sciences

The dilogarithm function for complex argument

LC Maximon

PROCEEDINGS OF THE ROYAL SOCIETY A-MATHEMATICAL PHYSICAL AND ENGINEERING SCIENCES (2003)