Robust high-dimensional alpha test for conditional time-varying factor models. Issue 2 (4th March 2023)

• Record Type: Journal Article
• Authors: Zhao, Ping
• Is Part Of: Statistics. Volume 57:Issue 2(2023)
• Page Start: 444
• Page End: 457
• Publication Date: 2023-03-04
• Subjects: Conditional alpha test -- high-dimensional data -- spatial sign -- time-varying coefficient; Mathematical statistics -- Periodicals; 519.505
• DOI: 10.1080/02331888.2023.2180003
• Languages: English
• ISSNs: 0233-1888

Abstract

Abstract : This paper considers the problem of testing the presence of alpha in high-dimensional conditional time-varying factor model. We proposed a spatial-sign-based test procedure which is robust and efficient for heavy-tailed distributions. We established the theoretical properties of the proposed test statistic under some mild conditions. Simulation studies and a real data example also show the superior of our test procedure to the existing methods.