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math.ST2015★ 9 cited
I-LAMM for Sparse Learning: Simultaneous Control of Algorithmic Complexity and Statistical Error
Jianqing Fan, Han Liu, Qiang Sun +1
We propose a computational framework named iterative local adaptive majorize-minimization (I-LAMM) to simultaneously control algorithmic complexity and statistical error when fitti…
math.ST2015
Robust Inference of Risks of Large Portfolios
Jianqing Fan, Fang Han, Han Liu +1
We propose a bootstrap-based robust high-confidence level upper bound (Robust H-CLUB) for assessing the risks of large portfolios. The proposed approach exploits rank-based and qua…