Kaizheng Wang

Princeton University - Department of Operations Research & Financial Engineering (ORFE)

Sherrerd Hall, Charlton Street

Princeton, NJ 08544

United States

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Factor-Adjusted Regularized Model Selection

Number of pages: 39 Posted: 03 Oct 2018
Jianqing Fan, Yuan Ke and Kaizheng Wang
Princeton University - Bendheim Center for Finance, Princeton University - Department of Operations Research & Financial Engineering (ORFE) and Princeton University - Department of Operations Research & Financial Engineering (ORFE)
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Abstract:

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High dimension, Model selection consistency, Correlated covariates, Factor model, Regularized M-estimator, Time series