39 citations · 73 across the 4 of their papers we have counts for
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A Selective Overview of Variable Selection in High Dimensional Feature Space (Invited Review Article)
Jianqing Fan, Jinchi Lv
High dimensional statistical problems arise from diverse fields of scientific research and technological development. Variable selection plays a pivotal role in contemporary statis…
Non-Concave Penalized Likelihood with NP-Dimensionality
Jianqing Fan, Jinchi Lv
Penalized likelihood methods are fundamental to ultra-high dimensional variable selection. How high dimensionality such methods can handle remains largely unknown. In this paper, w…
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…
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…