Double Robust high dimensional alpha test for linear factor pricing model
Fuente:
arXiv
Enregistré dans:
| Auteurs principaux: | , , , |
|---|---|
| Format: | Preprint |
| Publié: |
2024
|
| Sujets: | |
| Accès en ligne: | |
| Tags: |
Ajouter un tag
Pas de tags, Soyez le premier à ajouter un tag!
|
| _version_ | 1866916393462530048 |
|---|---|
| author | Zhao, Ping Feng, Long Wang, Hongfei Wang, Zhaojun |
| author_facet | Zhao, Ping Feng, Long Wang, Hongfei Wang, Zhaojun |
| contents | In this paper, we investigate alpha testing for high-dimensional linear factor pricing models. We propose a spatial sign-based max-type test to handle sparse alternative cases. Additionally, we prove that this test is asymptotically independent of the spatial-sign-based sum-type test proposed by Liu et al. (2023). Based on this result, we introduce a Cauchy Combination test procedure that combines both the max-type and sum-type tests. Simulation studies and real data applications demonstrate that the new proposed test procedure is robust not only for heavy-tailed distributions but also for the sparsity of the alternative hypothesis. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2408_06612 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Double Robust high dimensional alpha test for linear factor pricing model Zhao, Ping Feng, Long Wang, Hongfei Wang, Zhaojun Methodology In this paper, we investigate alpha testing for high-dimensional linear factor pricing models. We propose a spatial sign-based max-type test to handle sparse alternative cases. Additionally, we prove that this test is asymptotically independent of the spatial-sign-based sum-type test proposed by Liu et al. (2023). Based on this result, we introduce a Cauchy Combination test procedure that combines both the max-type and sum-type tests. Simulation studies and real data applications demonstrate that the new proposed test procedure is robust not only for heavy-tailed distributions but also for the sparsity of the alternative hypothesis. |
| title | Double Robust high dimensional alpha test for linear factor pricing model |
| topic | Methodology |
| url | https://arxiv.org/abs/2408.06612 |