1.5k citations · 7.9k across the 139 of their papers we have counts for
3 papers · 2 filters
Embracing the Blessing of Dimensionality in Factor Models
Quefeng Li, Guang Cheng, Jianqing Fan +1
Factor modeling is an essential tool for exploring intrinsic dependence structures among high-dimensional random variables. Much progress has been made for estimating the covarianc…
A Shrinkage Principle for Heavy-Tailed Data: High-Dimensional Robust Low-Rank Matrix Recovery
Jianqing Fan, Weichen Wang, Ziwei Zhu
This paper introduces a simple principle for robust high-dimensional statistical inference via an appropriate shrinkage on the data. This widens the scope of high-dimensional techn…
An Eigenvector Perturbation Bound and Its Application to Robust Covariance Estimation
Jianqing Fan, Weichen Wang, Yiqiao Zhong
In statistics and machine learning, people are often interested in the eigenvectors (or singular vectors) of certain matrices (e.g. covariance matrices, data matrices, etc). Howeve…