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Chen, Weilin and Lam, Clifford (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 (2020) High-dimensional covariance matrix estimation. Wiley Interdisciplinary Reviews: Computational Statistics, 12 (2). ISSN 1939-5108
Li, Zeng, Lam, Clifford, 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 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 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, 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 (2016) Nonparametric eigenvalue-regularized precision or covariance matrix estimator. Annals of Statistics, 44 (3). pp. 928-953. ISSN 0090-5364
Lam, Clifford and Souza, Pedro C.L. (2015) Detection and estimation of block structure in spatial weight matrix. Econometric Reviews. ISSN 0747-4938
Lam, Clifford 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, 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 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 and Fan, Jianqing (2008) Profile-kernel likelihood inference with diverging number of parameters. Annals of Statistics, 36 (5). pp. 2232-2260. ISSN 0090-5364
Lam, Clifford (2008) Estimation of large precision matrices through block penalization. . Cornell University, Ithaca, USA.