Dynamic Peer Groups of Arbitrage Characteristics

DOI10.1080/07350015.2021.2011736MaRDI QIDQ6626211zbMATH OpenFDO

Authors Shuyi Ge, Shaoran Li, Oliver Linton

Publication date 28 October 2024

Published in Journal of Business and Economic Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07350015.2021.2011736

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Cites work

• A central limit theorem for k-means clustering
• Classification of non-parametric regression functions in longitudinal data models
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• Large covariance estimation by thresholding principal orthogonal complements. With discussion and authors' reply
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• Note on Grouping
• On Grouping for Maximum Homogeneity
• Power enhancement in high-dimensional cross-sectional tests
• Power in high-dimensional testing problems
• Projected principal component analysis in factor models
• Regularized k-means clustering of high-dimensional data and its asymptotic consistency
• Strong consistency of k-means clustering
• Variable selection in nonparametric additive models

Cited in

(2)

• Multiperiod Dynamic Portfolio Choice: When High Dimensionality Meets Return Predictability
• Enhanced Power Enhancements for Testing Many Moment Equalities: Beyond the 2- and ∞-norm

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