Tony Cai

University of Pennsylvania - Statistics Department

Professor

Wharton School

Philadelphia, PA 19104

United States

SCHOLARLY PAPERS

3

DOWNLOADS

167

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (3)

1.

High-Dimensional Minimum Variance Portfolio Estimation Based on High-Frequency Data

Journal of Econometrics, Forthcoming
Number of pages: 31 Posted: 01 Feb 2018 Last Revised: 03 Jun 2019
University of Pennsylvania - Statistics Department, University of Wisconsin - Madison - Department of Statistics, Hong Kong University of Science & Technology (HKUST), Dept of ISOM and Dept of Finance and Hong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics and Operations Management
Downloads 167 (178,556)

Abstract:

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Minimum variance portfolio, High dimension, High frequency, CLIME estimator, Precision matrix

2.

Large-Scale Global and Simultaneous Inference: Estimation and Testing in Very High Dimensions

Annual Review of Economics, Vol. 9, pp. 411-439, 2017
Posted: 14 Aug 2017
Tony Cai and Wenguang Sun
University of Pennsylvania - Statistics Department and University of Southern California - Marshall School of Business

Abstract:

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3.

Global Testing and Large-Scale Multiple Testing for High-Dimensional Covariance Structures

Annual Review of Statistics and Its Application, Vol. 4, Issue 1, pp. 423-446, 2017
Posted: 21 Mar 2017
Tony Cai
University of Pennsylvania - Statistics Department

Abstract:

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