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Items where Author is "Lam, Clifford"

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Number of items: 12.

Article

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 (2019) High dimensional covariance matrix estimation. Wiley Interdisciplinary Reviews: Computational Statistics. ISSN 1939-5108 (In Press)

Li, Zeng, Lam, Clifford, Yao, Jianfeng and Yao, Qiwei (2018) On testing for high-dimensional white noise. Annals of Statistics. ISSN 0090-5364 (In Press)

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 (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 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

Monograph

Lam, Clifford (2008) Estimation of large precision matrices through block penalization. . Cornell University, Ithaca, USA.

This list was generated on Mon Oct 21 03:11:56 2019 BST.