Items where Author is "Lam, Clifford"

Article

Chen, Weilin and Lam, Clifford ORCID: 0000-0001-8972-9129 (2024) Rank and factor loadings estimation in time series tensor factor model by pre-averaging. Annals of Statistics, 52 (1). 364 - 391. ISSN 0090-5364

Lam, Clifford ORCID: 0000-0001-8972-9129 (2020) High-dimensional covariance matrix estimation. Wiley Interdisciplinary Reviews: Computational Statistics, 12 (2). ISSN 1939-5108

Li, Zeng, Lam, Clifford ORCID: 0000-0001-8972-9129, Yao, Jianfeng and Yao, Qiwei ORCID: 0000-0003-2065-8486 (2019) On testing for high-dimensional white noise. Annals of Statistics, 47 (6). 3382 - 3412. ISSN 0090-5364

Lam, Clifford ORCID: 0000-0001-8972-9129 and Souza, Pedro C.L. (2019) Estimation and selection of spatial weight matrix in a spatial lag model. Journal of Business and Economic Statistics. ISSN 0735-0015

Lam, Clifford ORCID: 0000-0001-8972-9129 and Feng, Phoenix (2018) A nonparametric eigenvalue-regularized integrated covariance matrix estimator for asset return data. Journal of Econometrics, 206 (1). pp. 226-257. ISSN 0304-4076

Lam, Clifford ORCID: 0000-0001-8972-9129, Feng, Phoenix and Hu, Charlie (2017) Nonlinear shrinkage estimation of large integrated covariance matrices. Biometrika, 104 (2). pp. 481-488. ISSN 0006-3444

Lam, Clifford ORCID: 0000-0001-8972-9129 (2016) Nonparametric eigenvalue-regularized precision or covariance matrix estimator. Annals of Statistics, 44 (3). pp. 928-953. ISSN 0090-5364

Lam, Clifford ORCID: 0000-0001-8972-9129 and Souza, Pedro C.L. (2015) Detection and estimation of block structure in spatial weight matrix. Econometric Reviews. ISSN 0747-4938

Lam, Clifford ORCID: 0000-0001-8972-9129 and Yao, Qiwei ORCID: 0000-0003-2065-8486 (2012) Factor modeling for high-dimensional time series: inference for the number of factors. Annals of Statistics, 40 (2). pp. 694-726. ISSN 0090-5364

Lam, Clifford ORCID: 0000-0001-8972-9129, Yao, Qiwei ORCID: 0000-0003-2065-8486 and Bathia, Neil (2011) Estimation of latent factors for high-dimensional time series. Biometrika, 98 (4). pp. 901-18. ISSN 0006-3444

Lam, Clifford ORCID: 0000-0001-8972-9129 and Fan, Jianqing (2009) Sparsistency and rates of convergence in large covariance matrix estimation. Annals of Statistics, 37 (6B). pp. 4254-4278. ISSN 0090-5364

Lam, Clifford ORCID: 0000-0001-8972-9129 and Fan, Jianqing (2008) Profile-kernel likelihood inference with diverging number of parameters. Annals of Statistics, 36 (5). pp. 2232-2260. ISSN 0090-5364

Monograph

Lam, Clifford ORCID: 0000-0001-8972-9129 (2008) Estimation of large precision matrices through block penalization. . Cornell University, Ithaca, USA.