A Factor-Adjusted Multiple Testing Procedure With Application to Mutual Fund Selection

DOI10.1080/07350015.2017.1294078zbMATH Open1548.62582MaRDI QIDQ6634849

Wei Lan, Lilun Du

Publication date: 8 November 2024

Published in: Journal of Business and Economic Statistics (Search for Journal in Brave)

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Cites Work

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• Strong Control, Conservative Point Estimation and Simultaneous Conservative Consistency of False Discovery Rates: A Unified Approach
• Estimation of the False Discovery Proportion with Unknown Dependence
• Common risk factors in the returns on stocks and bonds
• Determining the Number of Factors in Approximate Factor Models
• Large Covariance Estimation by Thresholding Principal Orthogonal Complements

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