421 citations · 495 across the 8 of their papers we have counts for
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stat.ME2024★ 1 cited
Factor Strength Estimation in Vector and Matrix Time Series Factor Models
Weilin Chen, Clifford Lam
Most factor modelling research in vector or matrix-valued time series assume all factors are pervasive/strong and leave weaker factors and their corresponding series to the noise.…
stat.ME2022★ 3 cited
Rank and Factor Loadings Estimation in Time Series Tensor Factor Model by Pre-averaging
Weilin Chen, Clifford Lam
Tensor time series data appears naturally in a lot of fields, including finance and economics. As a major dimension reduction tool, similar to its factor model counterpart, the idi…
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…