Searcharxiv⌕ Search

arXiv subjects

Haihan Tang

Publications and source records attributed to Haihan Tang.

7 recordsLinked to original sources
arXiv2023

Improving Estimation Efficiency via Regression-Adjustment in Covariate-Adaptive Randomizations with Imperfect Compliance

We investigate how to improve efficiency using regression adjustments with covariates in covariate-adaptive randomizations (CARs) with imperfect subject compliance. Our regression-adjusted estimators, which are based on the doubly robust moment for local average treatment effects, are consistent and asymptotically normal even with heterogeneous probability of assignment and misspecified regression adjustments. We propose an optimal but potentially misspecified linear adjustment and its further improvement via a nonlinear adjustment, both of which lead to more efficient estimators than the one without adjustments. We also provide conditions for nonparametric and regularized adjustments to achieve the semiparametric efficiency bound under CARs.

econ.EM↗
arXiv2022

TAFNet: A Three-Stream Adaptive Fusion Network for RGB-T Crowd Counting

In this paper, we propose a three-stream adaptive fusion network named TAFNet, which uses paired RGB and thermal images for crowd counting. Specifically, TAFNet is divided into one main stream and two auxiliary streams. We combine a pair of RGB and thermal images to constitute the input of main stream. Two auxiliary streams respectively exploit RGB image and thermal image to extract modality-specific features. Besides, we propose an Information Improvement Module (IIM) to fuse the modality-specific features into the main stream adaptively. Experiment results on RGBT-CC dataset show that our method achieves more than 20% improvement on mean average error and root mean squared error compared with state-of-the-art method. The source code will be publicly available at https://github.com/TANGHAIHAN/TAFNet.

cs.CV↗
arXiv2022

A Large Confirmatory Dynamic Factor Model for Stock Market Returns in Different Time Zones

We propose a confirmatory dynamic factor model for a large number of stocks whose returns are observed daily across multiple time zones. The model has a global factor and a continental factor that both drive the individual stock return series. We propose two estimators of the model: a quasi-maximum likelihood estimator (QML-just-identified), and an improved estimator based on an Expectation Maximization (EM) algorithm (QML-all-res). Our estimators are consistent and asymptotically normal under the large approximate factor model setting. In particular, the asymptotic distributions of QML-all-res are the same as those of the infeasible OLS estimators that treat factors as known and utilize all the restrictions on the parameters of the model. We apply the model to MSCI equity indices of 42 developed and emerging markets, and find that most markets are more integrated when the CBOE Volatility Index (VIX) is high.

math.ST↗
arXiv2020

Estimation of the Kronecker Covariance Model by Quadratic Form

We propose a new estimator, the quadratic form estimator, of the Kronecker product model for covariance matrices. We show that this estimator has good properties in the large dimensional case (i.e., the cross-sectional dimension $n$ is large relative to the sample size $T$). In particular, the quadratic form estimator is consistent in a relative Frobenius norm sense provided $\log^3n/T\to 0$. We obtain the limiting distributions of Lagrange multiplier (LM) and Wald tests under both the null and local alternatives concerning the mean vector $μ$. Testing linear restrictions of $μ$ is also investigated. Finally, our methodology performs well in the finite-sample situations both when the Kronecker product model is true, and when it is not true.

math.ST↗
arXiv2019

Estimation of a Multiplicative Correlation Structure in the Large Dimensional Case

We propose a Kronecker product model for correlation or covariance matrices in the large dimensional case. The number of parameters of the model increases logarithmically with the dimension of the matrix. We propose a minimum distance (MD) estimator based on a log-linear property of the model, as well as a one-step estimator, which is a one-step approximation to the quasi-maximum likelihood estimator (QMLE). We establish rates of convergence and central limit theorems (CLT) for our estimators in the large dimensional case. A specification test and tools for Kronecker product model selection and inference are provided. In a Monte Carlo study where a Kronecker product model is correctly specified, our estimators exhibit superior performance. In an empirical application to portfolio choice for SP500 daily returns, we demonstrate that certain Kronecker product models are good approximations to the general covariance matrix.

math.ST↗
arXiv2016

Uniform Inference in High-dimensional Dynamic Panel Data Models

We establish oracle inequalities for a version of the Lasso in high-dimensional fixed effects dynamic panel data models. The inequalities are valid for the coefficients of the dynamic and exogenous regressors. Separate oracle inequalities are derived for the fixed effects. Next, we show how one can conduct uniformly valid simultaneous inference on the parameters of the model and construct a uniformly valid estimator of the asymptotic covariance matrix which is robust to conditional heteroskedasticity in the error terms. Allowing for conditional heteroskedasticity is important in dynamic models as the conditional error variance may be non-constant over time and depend on the covariates. Furthermore, our procedure allows for inference on high-dimensional subsets of the parameter vector of an increasing cardinality. We show that the confidence bands resulting from our procedure are asymptotically honest and contract at the optimal rate. This rate is different for the fixed effects than for the remaining parts of the parameter vector.

math.ST↗