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线性模型中高维回归系数的检验AI 解读

(2011) 260-274), and show that the ARE is always greater or equal to one under the local alternative studied in this paper. Our numerical studies imply that the proposed test with critical values derived from its asymptotical normal distribution may retain Type I error rate very well. Our numerical comparison demonstrates the proposed test performs better than existing ones in terms of powers. We further illustrate our proposed method with a real data example.

超高维投资组合选择的资产拆分算法及其理论性质AI 解读

The presence of a huge number of assets poses challenges to classical portfolio selection algorithms. Constrained l1 minimization approaches have been proposed to directly estimate effective parameters in the optimal portfolio. Linear programming method and alternating direction method of multiplier (ADMM) algorithm is used to solve the corresponding minimization problems. However, these two algorithms may fail due to the limitations of computing time and computing memory…