Portfolio allocation is an important topic in financial data analysis. In this article, based on the mean-variance optimization principle, we propose a synthetic regression model for construction o…
This article proposes a new Multi-Kink Quantile Regression (MKQR) model which assumes different linear quantile regression forms in different regions of the domain of the threshold covariate but ar…
High-dimensional covariance matrices appear in many disciplines. Much literature has devoted to the research in high-dimensional constant covariance matrices. However, constant covariance matrices …
In this article, we study low rank high-dimensional multivariate linear models (LRMLM) for high-dimensional multi-response data. We propose an intuitively appealing estimation approach and develop …