High dimensionality comparable to sample size is common in many statistical problems. We examine covariance matrix estimation in the asymptotic framework that the dimensionality p tends to infinity as the sample size n increases. Motivated by the Arbitrage Pricing Theory in finance, a...

Interpretability and stability are two important features that are desired in many contemporary big data applications arising in economics and finance. While the former is enjoyed to some extent by many existing forecasting approaches, the latter in the sense of controlling the fraction of...

Heterogeneous treatment effects are the center of gravity in many modern causal inference applications. In this paper, we investigate the estimation and inference of heterogeneous treatment effects with precision in a general non-parametric setting. To this end, we enhance the classical...

An aggregated method of nonparametric estimators based on time-domain and state-domain estimators is proposed and studied. To attenuate the curse of dimensionality, we propose a factor modeling strategy. We first investigate the asymptotic behavior of nonparametric estimators of the volatility...

An aggregated method of nonparametric estimators based on time-domain and state-domain estimators is proposed and studied. To attenuate the curse of dimensionality, we propose a factor modeling strategy. We first investigate the asymptotic behavior of nonparametric estimators of the volatility...