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上海财经大学 [48]
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期刊论文 [42]
学术活动 [3]
会议论文 [2]
专著章节 [1]
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2019 [3]
2018 [6]
2017 [8]
2016 [4]
2015 [6]
2014 [3]
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HIGH-DIMENSIONAL COVARIANCE MATRICES IN ELLIPTICAL DISTRIBUTIONS WITH APPLICATION TO SPHERICAL TEST
期刊论文
ANNALS OF STATISTICS, 2019, 卷号: 47, 期号: 1, 页码: 527-555
作者:
Hu, Jiang
;
Li, Weiming
;
Liu, Zhi
;
Zhou, Wang
收藏
  |  
浏览/下载:7/0
  |  
提交时间:2019/08/22
Covariance matrix
high-dimensional data
elliptical distribution
sphericity test
An efficient exponential twisting importance sampling technique for pricing financial derivatives
期刊论文
COMMUNICATIONS IN STATISTICS-THEORY AND METHODS, 2019, 卷号: 48, 期号: 2, 页码: 203-219
作者:
Ma, Junmei
;
Du, Kun
;
Gu, Guiding
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  |  
浏览/下载:13/0
  |  
提交时间:2019/08/22
Efficient
importance sampling
exponential twisting
least square
A semiparametric linear transformation model for general biased-sampling and right-censored data
期刊论文
STATISTICS AND ITS INTERFACE, 2019, 卷号: 12, 期号: 1, 页码: 77-92
作者:
Wei, Wenhua
;
Zhou, Yong
;
Wan, Alan T. K.
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  |  
浏览/下载:20/0
  |  
提交时间:2019/08/22
Biased-sampling
Estimating equation
Right-censoring
Semiparametric linear transformation model
Joint Central Limit Theorem for Eigenvalue Statistics from Several Dependent Large Dimensional Sample Covariance Matrices with Application
期刊论文
SCANDINAVIAN JOURNAL OF STATISTICS, 2018, 卷号: 45, 期号: 3, 页码: 699-728
作者:
Li, Weiming
;
Li, Zeng
;
Yao, Jianfeng
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  |  
浏览/下载:7/0
  |  
提交时间:2019/08/22
central limit theorem
high-dimensional times series
large sample covariance matrices
linear spectral statistics
white noise test
Pre-averaging estimate of high dimensional integrated covariance matrix with noisy and asynchronous high-frequency data
期刊论文
RANDOM MATRICES-THEORY AND APPLICATIONS, 2018, 卷号: 7, 期号: 3
作者:
Liu, Zhi
;
Xia, Xiaochao
;
Zhou, Guoliang
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  |  
浏览/下载:8/0
  |  
提交时间:2019/08/22
High-frequency data
volatility estimation
microstructure noise
supplement on CLT for LSS under a large dimensional generalized spiked covariance model
期刊论文
STATISTICS & PROBABILITY LETTERS, 2018, 卷号: 138, 页码: 57-65
作者:
Chen, Jiaqi
;
Zhang, Yangchun
;
Li, Weiming
;
Tian, Boping
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  |  
浏览/下载:4/0
  |  
提交时间:2019/08/22
Generalized spiked model
Large covariance matrix
Linear spectral statistic
Sphericity test
ON THE INFERENCE ABOUT THE SPECTRAL DISTRIBUTION OF HIGH-DIMENSIONAL COVARIANCE MATRIX BASED ON HIGH-FREQUENCY NOISY OBSERVATIONS
期刊论文
ANNALS OF STATISTICS, 2018, 卷号: 46, 期号: 2, 页码: 500-525
作者:
Xia, Ningning
;
Zheng, Xinghua
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  |  
浏览/下载:5/0
  |  
提交时间:2019/08/22
High-dimension
high-frequency
integrated covariance matrices
Marcenko-Pastur equation
microstructure noise
On structure testing for component covariance matrices of a high dimensional mixture
期刊论文
JOURNAL OF THE ROYAL STATISTICAL SOCIETY SERIES B-STATISTICAL METHODOLOGY, 2018, 卷号: 80, 期号: 2, 页码: 293-318
作者:
Li, Weiming
;
Yao, Jianfeng
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  |  
浏览/下载:12/0
  |  
提交时间:2019/08/22
Large covariance matrix
Marenko-Pastur law
Sphericity test
Efficient estimation for time-dynamic longitudinal single-index model
期刊论文
COMMUNICATIONS IN STATISTICS-THEORY AND METHODS, 2018, 卷号: 47, 期号: 15, 页码: 3656-3674
作者:
Liu, Shu
;
Liu, Liangyuan
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  |  
浏览/下载:4/0
  |  
提交时间:2019/08/22
Efficiency
GEE
Local polynomial regression
Longitudinal data
Single-index model
Within-subject correlation
A new estimator of covariance matrix via partial Iwasawa coordinates
期刊论文
JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY, 2017, 卷号: 30, 期号: 5, 页码: 1173-1188
作者:
Xu, Kai
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  |  
浏览/下载:2/0
  |  
提交时间:2019/08/22
Covariance matrix
James-Stein estimator
partial Iwasawa coordinates
Stein's loss
weighted quadratic loss
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