Huidi Lin
Biographic Data
| ID | 8920620 |
|---|---|
| NAME | Huidi Lin |
| GIVEN NAMES | Huidi |
| FAMILY NAME | Lin |
| SIGNATURE | LIN H |
| AFFILIATIONS | Duke University |
| VERIFIED | No |
| TOTAL WORKS | 1 |
| TOTAL CITATIONS | 0 |
| AUTHOR COUNT | 1 |
| EDITOR COUNT | 0 |
| FIRST PUBLICATION YEAR | 2019 |
| LATEST PUBLICATION YEAR | 2019 |
| H-INDEX | 0 |
Rank Tests at Jump Events
We propose a test for the rank of a cross-section of processes at a set of jump events. The jump events are either specific known times or are random and associated with jumps of some process. The test is formed from discretely sampled data on a fixed time interval with asymptotically shrinking mesh. In the first step, we form nonparametric estimates of the jump events via thresholding techniques. We then compute the eigenvalues of the outer prod…
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Rank Tests at Jump Events
We propose a test for the rank of a cross-section of processes at a set of jump events. The jump events are either specific known times or are random and associated with jumps of some process. The test is formed from discretely sampled data on a fixed time interval with asymptotically shrinking mesh. In the first step, we form nonparametric estimates of the jump events via thresholding techniques. We then compute the eigenvalues of the outer prod…
Complex Systems and Time Series Analysis (1 work) · Econometrics (1 work) · Financial Risk and Volatility Modeling (1 work) · Jump (1 work) · Mathematics (1 work) · Nonparametric statistics (1 work) · Resampling (1 work) · Statistics (1 work) · Stochastic processes and financial applications (1 work)