2 citations · 2 across the 2 of their papers we have counts for
2 papers
math.ST2007★ 2 cited
High Dimensional Covariance Matrix Estimation Using a Factor Model
Jianqing Fan, Yingying Fan, Jinchi Lv
High dimensionality comparable to sample size is common in many statistical problems. We examine covariance matrix estimation in the asymptotic framework that the dimensionality $p…
math.ST2007
Aggregation of Nonparametric Estimators for Volatility Matrix
Jianqing Fan, Yingying Fan, Jinchi Lv
An aggregated method of nonparametric estimators based on time-domain and state-domain estimators is proposed and studied. To attenuate the curse of dimensionality, we propose a fa…