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math.ST2013★ 2 cited
Nonparametric Independence Screening in Sparse Ultra-High Dimensional Varying Coefficient Models
Jianqing Fan, Yunbei Ma, Wei Dai
The varying-coefficient model is an important nonparametric statistical model that allows us to examine how the effects of covariates vary with exposure variables. When the number…
math.ST2005★ 6 cited
Modelling multivariate volatilies via conditionally uncorrelated components
Jianqing Fan, Mingjin Wang, Qiwei Yao
We propose to model multivariate volatility processes based on the newly defined conditionally uncorrelated components (CUCs). This model represents a parsimonious representation f…