378 citations · 954 across the 33 of their papers we have counts for
Showing 2013Show all
3 papers · 1 filter
stat.ME2013★ 2 cited
Power Enhancement in High Dimensional Cross-Sectional Tests
Jianqing Fan, Yuan Liao, Jiawei Yao
We propose a novel technique to boost the power of testing a high-dimensional vector $H:\btheta=0$ against sparse alternatives where the null hypothesis is violated only by a coupl…
math.ST2013★ 10 cited
Statistical Inferences Using Large Estimated Covariances for Panel Data and Factor Models
Jushan Bai, Yuan Liao
While most of the convergence results in the literature on high dimensional covariance matrix are concerned about the accuracy of estimating the covariance matrix (and precision ma…
stat.AP2013★ 2 cited
Risks of Large Portfolios
Jianqing Fan, Yuan Liao, Xiaofeng Shi
Estimating and assessing the risk of a large portfolio is an important topic in financial econometrics and risk management. The risk is often estimated by a substitution of a good…