2 papers
math.ST2018
On testing for high-dimensional white noise
Zeng Li, Clifford Lam, Jianfeng Yao +1
Testing for white noise is a classical yet important problem in statistics, especially for diagnostic checks in time series modeling and linear regression. For high-dimensional tim…
stat.ME2008
Estimation of Large Precision Matrices Through Block Penalization
Clifford Lam
This paper focuses on exploring the sparsity of the inverse covariance matrix $\bSigma^{-1}$, or the precision matrix. We form blocks of parameters based on each off-diagonal band…