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Cen, Zetai and Lam, Clifford ORCID: 0000-0001-8972-9129
(2025)
Tensor time series imputation through tensor factor modelling.
Journal of Econometrics.
ISSN 0304-4076
(In Press)
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
Lam, Clifford ORCID: 0000-0001-8972-9129
(2008)
Estimation of large precision matrices through block penalization.
.
Cornell University, Ithaca, USA.