155 citations · 294 across the 14 of their papers we have counts for
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stat.ME2015★ 26 cited
Large Covariance Estimation through Elliptical Factor Models
Jianqing Fan, Han Liu, Weichen Wang
We proposed a general Principal Orthogonal complEment Thresholding (POET) framework for large-scale covariance matrix estimation based on an approximate factor model. A set of high…
math.ST2015★ 26 cited
Asymptotics of Empirical Eigen-structure for Ultra-high Dimensional Spiked Covariance Model
Jianqing Fan, Weichen Wang
We derive the asymptotic distributions of the spiked eigenvalues and eigenvectors under a generalized and unified asymptotic regime, which takes into account the spike magnitude of…