Xiaofeng Shao

20042019
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Self-normalization Mathematics
Time series Mathematics
Martingale Difference Mathematics
Stationary Time Series Mathematics
Dependent Mathematics
Block Bootstrap Mathematics
Confidence interval Mathematics
Empirical Likelihood Mathematics

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Research Output 2004 2019

Bootstrap-assisted unit root testing with piecewise locally stationary errors

Rho, Y. & Shao, X., Feb 1 2019, In : Econometric Theory. 35, 1, p. 143-166 24 p.

Research output: Contribution to journalArticle

statistics
simulation
Unit root testing
Bootstrap
Wild bootstrap

Conditional mean and quantile dependence testing in high dimension

Zhang, X., Yao, S. & Shao, X., Feb 2018, In : Annals of Statistics. 46, 1, p. 219-246 28 p.

Research output: Contribution to journalArticle

Quantile
Higher Dimensions
Covariates
Testing
Martingale Difference
Martingale Difference
Stationary Time Series
Multivariate Time Series
Dimension Reduction
Divergence

Testing mutual independence in high dimension via distance covariance

Yao, S., Zhang, X. & Shao, X., Jun 2018, In : Journal of the Royal Statistical Society. Series B: Statistical Methodology. 80, 3, p. 455-480 26 p.

Research output: Contribution to journalArticle

Higher Dimensions
Testing
Test Statistic
Sample Size
Spearman's coefficient

Volatility Martingale Difference Divergence Matrix and Its Application to Dimension Reduction for Multivariate Volatility

Lee, C. E. & Shao, X., Jun 14 2018, (Accepted/In press) In : Journal of Business and Economic Statistics. p. 1-13 13 p.

Research output: Contribution to journalArticle

Martingale Difference
Dimension Reduction
Volatility
divergence
Divergence