no code implementations • 1 May 2022 • Zhe Fei, Weixuan Xia
Stochastic clocks represent a class of time change methods for incorporating trading activity into continuous-time financial models, with the ability to deal with typical asymmetrical and tail risks in financial returns.
no code implementations • 25 Nov 2021 • Zhe Fei, Yevgen Ryeznik, Oleksandr Sverdlov, Chee Wei Tan, Weng Kee Wong
In the era of big data, standard analysis tools may be inadequate for making inference and there is a growing need for more efficient and innovative ways to collect, process, analyze and interpret the massive and complex data.
1 code implementation • 22 Jul 2021 • Zhe Fei, Qi Zheng, Hyokyoung G. Hong, Yi Li
To our knowledge, there is little work available to draw inference on the effects of high dimensional predictors for censored quantile regression.
1 code implementation • 11 Mar 2019 • Zhe Fei, Yi Li
In modern biomedical studies, focus has been shifted to estimate and explain the joint effects of high dimensional predictors (for example, molecular biomarkers) on a disease outcome (for example, onset of cancer).
Methodology