Robust high-dimensional alpha test for conditional time-varying factor models

被引：2

作者：

Zhao, Ping ^{[1
,2
]}

机构：

[1] Nankai Univ, Sch Stat & Data Sci, Tianjin, Peoples R China

[2] Nankai Univ, Sch Stat & Data Sci, Tianjin 300071, Peoples R China

来源：

STATISTICS | 2023年 / 57卷 / 02期

基金：

中国国家自然科学基金;

关键词：

Conditional alpha test; high-dimensional data; spatial sign; time-varying coefficient;

D O I：

10.1080/02331888.2023.2180003

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

This paper considers the problem of testing the presence of alpha in high-dimensional conditional time-varying factor model. We proposed a spatial-sign-based test procedure which is robust and efficient for heavy-tailed distributions. We established the theoretical properties of the proposed test statistic under some mild conditions. Simulation studies and a real data example also show the superior of our test procedure to the existing methods.

引用

页码：444 / 457

页数：14

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