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Jianqing Fan : Citation Profile


Are you Jianqing Fan?

Princeton University (50% share)
Princeton University (50% share)

23

H index

40

i10 index

1983

Citations

RESEARCH PRODUCTION:

72

Articles

21

Papers

RESEARCH ACTIVITY:

   24 years (1992 - 2016). See details.
   Cites by year: 82
   Journals where Jianqing Fan has often published
   Relations with other researchers
   Recent citing documents: 222.    Total self citations: 27 (1.34 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pfa165
   Updated: 2018-02-17    RAS profile: 2017-02-27    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers


Works with:

Liao, Yuan (6)

Authors registered in RePEc who have co-authored more than one work in the last five years with Jianqing Fan.

Is cited by:

LINTON, OLIVER (36)

Cai, Zongwu (31)

Härdle, Wolfgang (29)

Li, Degui (28)

Kock, Anders (26)

Parolya, Nestor (23)

Pesaran, M (23)

Chernozhukov, Victor (20)

GAO, Jiti (19)

Zhu, Lixing (18)

Barigozzi, Matteo (18)

Cites to:

Ait-Sahalia, Yacine (18)

Wolf, Michael (11)

Reichlin, Lucrezia (11)

Ledoit, Olivier (11)

French, Kenneth (10)

Fama, Eugene (9)

Forni, Mario (9)

Lippi, Marco (9)

Shephard, Neil (9)

Bai, Jushan (9)

Hallin, Marc (9)

Main data


Where Jianqing Fan has published?


Journals with more than one article published# docs
Journal of the American Statistical Association21
Journal of the Royal Statistical Society Series B12
TEST: An Official Journal of the Spanish Society of Statistics and Operations Research6
Journal of the American Statistical Association6
Journal of Econometrics4
Statistics & Probability Letters3
Biometrika3
Journal of Multivariate Analysis2
Journal of Business & Economic Statistics2

Working Papers Series with more than one paper published# docs
Papers / arXiv.org5
MPRA Paper / University Library of Munich, Germany3
SFB 373 Discussion Papers / Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes2

Recent works citing Jianqing Fan (2018 and 2017)


YearTitle of citing document
2017Statistical tests for equal predictive ability across multiple forecasting methods. (2017). Borup, Daniel ; Thyrsgaard, Martin. In: CREATES Research Papers. RePEc:aah:create:2017-19.

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2018Program Evaluation and Causal Inference with High-Dimensional Data. (2018). Chernozhukov, Victor ; Hansen, Christian ; Fern, Ivan ; Belloni, Alexandre. In: Papers. RePEc:arx:papers:1311.2645.

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2017Correction to Black-Scholes formula due to fractional stochastic volatility. (2017). Garnier, Josselin ; Solna, Knut . In: Papers. RePEc:arx:papers:1509.01175.

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2017Model-Free Approaches to Discern Non-Stationary Microstructure Noise and Time-Varying Liquidity in High-Frequency Data. (2017). Mykland, Per A ; Chen, Richard Y. In: Papers. RePEc:arx:papers:1512.06159.

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2017Do co-jumps impact correlations in currency markets?. (2017). Vacha, Lukas ; Baruník, Jozef ; Barunik, Jozef . In: Papers. RePEc:arx:papers:1602.05489.

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2017Local Parametric Estimation in High Frequency Data. (2017). Potiron, Yoann. In: Papers. RePEc:arx:papers:1603.05700.

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2017Double/Debiased Machine Learning for Treatment and Causal Parameters. (2017). Chernozhukov, Victor ; Robins, James ; Newey, Whitney ; Hansen, Christian ; Duflo, Esther ; Demirer, Mert ; Chetverikov, Denis. In: Papers. RePEc:arx:papers:1608.00060.

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2017Optimal Shrinkage Estimator for High-Dimensional Mean Vector. (2017). Parolya, Nestor ; Bodnar, Taras ; Okhrin, Ostap. In: Papers. RePEc:arx:papers:1610.09292.

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2017Optimal shrinkage-based portfolio selection in high dimensions. (2017). Parolya, Nestor ; Okhrin, Yarema ; Bodnar, Taras. In: Papers. RePEc:arx:papers:1611.01958.

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2017Random matrix approach to estimation of high-dimensional factor models. (2017). Yeo, Joongyeub ; Papanicolaou, George . In: Papers. RePEc:arx:papers:1611.05571.

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2017Efficient asymptotic variance reduction when estimating volatility in high frequency data. (2017). Potiron, Yoann ; Clinet, Simon . In: Papers. RePEc:arx:papers:1701.01185.

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2017A Joint Quantile and Expected Shortfall Regression Framework. (2017). Dimitriadis, Timo ; Bayer, Sebastian. In: Papers. RePEc:arx:papers:1704.02213.

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2017Explicit expressions for European option pricing under a generalized skew normal distribution. (2017). Doostparast, Mahdi. In: Papers. RePEc:arx:papers:1707.09609.

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2017Sequential testing for structural stability in approximate factor models. (2017). Barigozzi, Matteo ; Trapani, Lorenzo . In: Papers. RePEc:arx:papers:1708.02786.

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2017Principal Components and Regularized Estimation of Factor Models. (2017). Ng, Serena ; Bai, Jushan. In: Papers. RePEc:arx:papers:1708.08137.

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2017Estimation of Graphical Models using the $L_{1,2}$ Norm. (2017). Chiong, Khai X ; Moon, Hyungsik Roger. In: Papers. RePEc:arx:papers:1709.10038.

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2017Sparse Portfolio Selection via the sorted $\ell_{1}$-Norm. (2017). Kremer, Philipp J ; Paterlini, Sandra ; Bogdan, Malgorzata ; Lee, Sangkyun. In: Papers. RePEc:arx:papers:1710.02435.

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2017Uniform Inference for Conditional Factor Models with Instrumental and Idiosyncratic Betas. (2017). Yang, Xiye ; Liao, Yuan. In: Papers. RePEc:arx:papers:1711.04392.

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2017A nonparametric copula approach to conditional Value-at-Risk. (2017). Geenens, Gery ; Dunn, Richard . In: Papers. RePEc:arx:papers:1712.05527.

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2017Some Large Sample Results for the Method of Regularized Estimators. (2017). Jansson, Michael ; Pouzo, Demian. In: Papers. RePEc:arx:papers:1712.07248.

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2017Surfing through the GFC: Systemic Risk in Australia. (2017). Luciani, Matteo ; Veredas, David ; Matei, Marius ; Dungey, Mardi. In: The Economic Record. RePEc:bla:ecorec:v:93:y:2017:i:300:p:1-19.

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2017Modelling Clustered Heterogeneity: Fixed Effects, Random Effects and Mixtures. (2017). Tutz, Gerhard ; Oelker, Margret-Ruth. In: International Statistical Review. RePEc:bla:istatr:v:85:y:2017:i:2:p:204-227.

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2017ADMM for Penalized Quantile Regression in Big Data. (2017). Yu, Liqun ; Lin, Nan . In: International Statistical Review. RePEc:bla:istatr:v:85:y:2017:i:3:p:494-518.

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2017AN OPTION VALUATION FRAMEWORK BASED ON ARITHMETIC BROWNIAN MOTION: JUSTIFICATION AND IMPLEMENTATION ISSUES. (2017). Brooks, Robert. In: Journal of Financial Research. RePEc:bla:jfnres:v:40:y:2017:i:3:p:401-427.

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2017Optimal screening and discovery of sparse signals with applications to multistage high throughput studies. (2017). Cai, Tony T ; Sun, Wenguang. In: Journal of the Royal Statistical Society Series B. RePEc:bla:jorssb:v:79:y:2017:i:1:p:197-223.

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2017Estimation of high dimensional mean regression in the absence of symmetry and light tail assumptions. (2017). Fan, Jianqing ; Wang, Yuyan ; Li, Quefeng . In: Journal of the Royal Statistical Society Series B. RePEc:bla:jorssb:v:79:y:2017:i:1:p:247-265.

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2017On estimation of the noise variance in high dimensional probabilistic principal component analysis. (2017). Passemier, Damien ; Yao, Jianfeng ; Li, Zhaoyuan . In: Journal of the Royal Statistical Society Series B. RePEc:bla:jorssb:v:79:y:2017:i:1:p:51-67.

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2017High dimensional semiparametric latent graphical model for mixed data. (2017). Fan, Jianqing ; Zou, Hui ; Ning, Yang ; Liu, Han. In: Journal of the Royal Statistical Society Series B. RePEc:bla:jorssb:v:79:y:2017:i:2:p:405-421.

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2017Testing against a linear regression model using ideas from shape-restricted estimation. (2017). Sen, Bodhisattva ; Meyer, Mary . In: Journal of the Royal Statistical Society Series B. RePEc:bla:jorssb:v:79:y:2017:i:2:p:423-448.

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2017Confidence intervals and regions for the lasso by using stochastic variational inequality techniques in optimization. (2017). Lu, Shu ; Zhang, Kai ; Yin, Liang ; Liu, Yufeng. In: Journal of the Royal Statistical Society Series B. RePEc:bla:jorssb:v:79:y:2017:i:2:p:589-611.

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2017High dimensional correlation matrices: the central limit theorem and its applications. (2017). GAO, Jiti ; Yang, Yanrong ; Pan, Guangming ; Han, Xiao. In: Journal of the Royal Statistical Society Series B. RePEc:bla:jorssb:v:79:y:2017:i:3:p:677-693.

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2017EigenPrism: inference for high dimensional signal-to-noise ratios. (2017). Janson, Lucas ; Candes, Emmanuel ; Barber, Rina Foygel. In: Journal of the Royal Statistical Society Series B. RePEc:bla:jorssb:v:79:y:2017:i:4:p:1037-1065.

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2017Estimation of the false discovery proportion with unknown dependence. (2017). Fan, Jianqing ; Han, XU. In: Journal of the Royal Statistical Society Series B. RePEc:bla:jorssb:v:79:y:2017:i:4:p:1143-1164.

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2017Random-projection ensemble classification. (2017). Cannings, Timothy I ; Samworth, Richard J. In: Journal of the Royal Statistical Society Series B. RePEc:bla:jorssb:v:79:y:2017:i:4:p:959-1035.

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2017Testing and confidence intervals for high dimensional proportional hazards models. (2017). Fang, Ethan X ; Liu, Han ; Ning, Yang . In: Journal of the Royal Statistical Society Series B. RePEc:bla:jorssb:v:79:y:2017:i:5:p:1415-1437.

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2017A network analysis of the volatility of high dimensional financial series. (2017). Hallin, Marc ; Barigozzi, Matteo. In: Journal of the Royal Statistical Society Series C. RePEc:bla:jorssc:v:66:y:2017:i:3:p:581-605.

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2017Oracle M-Estimation for Time Series Models. (2017). Giurcanu, Mihai C. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:38:y:2017:i:3:p:479-504.

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2017A Model-Adaptive Test for Parametric Single-Index Time Series Models. (2017). Xia, Qiang ; Niu, Cuizhen ; He, Kejun. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:38:y:2017:i:6:p:981-999.

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2017Improvement Screening for Ultra-High Dimensional Data with Censored Survival Outcomes and Varying Coefficients. (2017). Mu, Yue ; Jialiang, LI. In: The International Journal of Biostatistics. RePEc:bpj:ijbist:v:13:y:2017:i:1:p:16:n:15.

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2017Generalized partial linear varying multi-index coefficient model for gene-environment interactions. (2017). Xu, Liu ; Yuehua, Cui ; Bin, Gao. In: Statistical Applications in Genetics and Molecular Biology. RePEc:bpj:sagmbi:v:16:y:2017:i:1:p:59-74:n:6.

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2017Regularized estimation in sparse high-dimensional multivariate regression, with application to a DNA methylation study. (2017). Elena, Colicino ; Haixiang, Zhang ; Pantel, Vokonas ; Joel, Schwartz ; Grace, Yoon ; Lei, Liu ; Lifang, Hou ; Wei, Zhang ; Brian, Joyce ; Tao, Gao ; Zhou, Zhang ; Andrea, Baccarelli ; Yinan, Zheng . In: Statistical Applications in Genetics and Molecular Biology. RePEc:bpj:sagmbi:v:16:y:2017:i:3:p:159-171:n:4.

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Estimation of long memory in volatility using wavelets. (2017). Baruník, Jozef ; Jozef, Barunik ; Lucie, Kraicova . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:21:y:2017:i:3:p:22:n:5.

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2018Information theoretic approach to high dimensional multiplicative models: Stochastic discount factor and treatment effect. (2018). Otsu, Taisuke ; Qiu, Chen . In: STICERD - Econometrics Paper Series. RePEc:cep:stiecm:595.

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2017Sparse covariance matrix estimation in high-dimensional deconvolution. (2017). Belomestny, Denis ; Tsybakov, Alexandre ; Trabs, Mathias . In: Working Papers. RePEc:crs:wpaper:2017-25.

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2017Risk parity in the brazilian market. (2017). de Souza, Pierre O ; Righi, Marcelo B ; Borenstein, Denis ; Caldeira, Joo F ; Filomena, Tiago P. In: Economics Bulletin. RePEc:ebl:ecbull:eb-17-00061.

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2017Identification of Global and National Shocks in International Financial Markets via General Dynamic Factor Models. (2017). Soccorsi, Stefano ; Hallin, Marc ; Barigozzi, Matteo. In: Working Papers ECARES. RePEc:eca:wpaper:2013/248676.

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2017Power in High-dimensional testing Problems. (2017). Kock, Anders ; Preinerstorfer, David . In: Working Papers ECARES. RePEc:eca:wpaper:2013/260442.

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2017Thoughts on the inequality of opportunities: new evidence. (2017). Santos, Wallace Patrick ; de Oliveira, Victor Rodrigues ; Annegues, Ana Claudia . In: Revista CEPAL. RePEc:ecr:col070:42012.

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2018Optimal estimation of direction in regression models with large number of parameters. (2018). Gillard, Jonathan ; Zhigljavsky, Anatoly . In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:318:y:2018:i:c:p:281-289.

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2017What drives spatial clusters of entrepreneurship in China? Evidence from economic census data. (2017). Zhao, Zhong ; Zheng, Liang. In: China Economic Review. RePEc:eee:chieco:v:46:y:2017:i:c:p:229-248.

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2017Asymptotically optimal differenced estimators of error variance in nonparametric regression. (2017). Wang, Wenwu ; Yu, Ping . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:105:y:2017:i:c:p:125-143.

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2017Model free feature screening for ultrahigh dimensional data with responses missing at random. (2017). Lai, Peng ; Wan, YI ; Liu, Zhi. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:105:y:2017:i:c:p:201-216.

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2017Depth-based nonparametric description of functional data, with emphasis on use of spatial depth. (2017). Serfling, Robert ; Wijesuriya, Uditha . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:105:y:2017:i:c:p:24-45.

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2017Variable selection using shrinkage priors. (2017). Li, Hanning ; Pati, Debdeep . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:107:y:2017:i:c:p:107-119.

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2017Canonical kernel dimension reduction. (2017). Tao, Chenyang ; Feng, Jianfeng . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:107:y:2017:i:c:p:131-148.

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2017Correlation rank screening for ultrahigh-dimensional survival data. (2017). Zhang, Jing ; Wu, Yuanshan ; Liu, Yanyan. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:108:y:2017:i:c:p:121-132.

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2017Sparse vector Markov switching autoregressive models. Application to multivariate time series of temperature. (2017). Monbet, Valerie ; Ailliot, Pierre . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:108:y:2017:i:c:p:40-51.

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2017Composite quantile regression for correlated data. (2017). Song, Xinyuan ; Zhao, Weihua ; Lian, Heng. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:109:y:2017:i:c:p:15-33.

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2017Robust and efficient estimation of multivariate scatter and location. (2017). Yohai, Victor J ; Maronna, Ricardo A. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:109:y:2017:i:c:p:64-75.

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2017Variable selection for multiply-imputed data with penalized generalized estimating equations. (2017). Geronimi, J ; Saporta, G. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:110:y:2017:i:c:p:103-114.

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2017Principal components adjusted variable screening. (2017). Liu, Zhongkai ; Zhang, Jiajia ; Zeng, Donglin ; Song, Rui. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:110:y:2017:i:c:p:134-144.

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2017Nearest neighbor estimates of regression. (2017). Doksum, Kjell A ; Wang, Shuzhen ; Sun, BO ; Jiang, Jiancheng . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:110:y:2017:i:c:p:64-74.

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2017Robust and sparse estimators for linear regression models. (2017). Smucler, Ezequiel ; Yohai, Victor J. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:111:y:2017:i:c:p:116-130.

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2017Subject-wise empirical likelihood inference in partial linear models for longitudinal data. (2017). Qian, Lianfen ; Wang, Suojin . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:111:y:2017:i:c:p:77-87.

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2017Transformed contribution ratio test for the number of factors in static approximate factor models. (2017). Xia, Qiang ; Wu, Jianhong ; Liang, Rubing . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:112:y:2017:i:c:p:235-241.

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2017Robust estimators under a functional common principal components model. (2017). Bali, Juan Lucas ; Boente, Graciela . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:113:y:2017:i:c:p:424-440.

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2017Homogeneity detection for the high-dimensional generalized linear model. (2017). Jeon, Jong-June ; Choi, Hosik ; Kwon, Sunghoon . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:114:y:2017:i:c:p:61-74.

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2017Ultrahigh dimensional feature screening via projection. (2017). Li, Xingxiang ; Song, Fengli ; Lai, Peng ; Wang, Liming ; Cheng, Guosheng . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:114:y:2017:i:c:p:88-104.

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2017Estimation of partially linear regression models under the partial consistency property. (2017). Cui, Xia ; Peng, Heng ; Lu, Ying. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:115:y:2017:i:c:p:103-121.

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2017Two-layer EM algorithm for ALD mixture regression models: A new solution to composite quantile regression. (2017). Wang, Shangshan ; Xiang, Liming . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:115:y:2017:i:c:p:136-154.

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2017Lasso, fractional norm and structured sparse estimation using a Hadamard product parametrization. (2017). Hoff, Peter D. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:115:y:2017:i:c:p:186-198.

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2018Quantile regression for partially linear varying-coefficient model with censoring indicators missing at random. (2018). Liang, Han-Ying ; Shen, YU. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:117:y:2018:i:c:p:1-18.

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2018Robust feature screening for ultra-high dimensional right censored data via distance correlation. (2018). Chen, Xiaolin ; Wang, Hong. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:119:y:2018:i:c:p:118-138.

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2018A new nonparametric screening method for ultrahigh-dimensional survival data. (2018). Liu, Yanyan ; Zhao, Xingqiu ; Zhang, Jing. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:119:y:2018:i:c:p:74-85.

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2017Empirical properties of a heterogeneous agent model in large dimensions. (2017). Coqueret, Guillaume . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:77:y:2017:i:c:p:180-201.

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2017Modeling microstructure price dynamics with symmetric Hawkes and diffusion model using ultra-high-frequency stock data. (2017). Lee, Kyungsub ; Ki, Byoung . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:79:y:2017:i:c:p:154-183.

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2017Smoothed kernel conditional density estimation. (2017). Wen, Kuangyu ; Wu, Ximing . In: Economics Letters. RePEc:eee:ecolet:v:152:y:2017:i:c:p:112-116.

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2017Stable limits for the Gaussian QMLE in the non-stationary GARCH(1,1) model. (2017). Arvanitis, Stelios ; Louka, Alexandros . In: Economics Letters. RePEc:eee:ecolet:v:161:y:2017:i:c:p:135-137.

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2017R-estimation in semiparametric dynamic location-scale models. (2017). Hallin, Marc ; la Vecchia, Davide . In: Journal of Econometrics. RePEc:eee:econom:v:196:y:2017:i:2:p:233-247.

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2017Inference and testing breaks in large dynamic panels with strong cross sectional dependence. (2017). Hidalgo, Javier ; Schafgans, Marcia. In: Journal of Econometrics. RePEc:eee:econom:v:196:y:2017:i:2:p:259-274.

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2017Positive semidefinite integrated covariance estimation, factorizations and asynchronicity. (2017). Quaedvlieg, Rogier ; Laurent, Sébastien ; Lunde, Asger ; Boudt, Kris ; Sauri, Orimar . In: Journal of Econometrics. RePEc:eee:econom:v:196:y:2017:i:2:p:347-367.

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2017Least squares estimation of large dimensional threshold factor models. (2017). Massacci, Daniele . In: Journal of Econometrics. RePEc:eee:econom:v:197:y:2017:i:1:p:101-129.

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2017Bootstrapping integrated covariance matrix estimators in noisy jump–diffusion models with non-synchronous trading. (2017). Hounyo, Ulrich . In: Journal of Econometrics. RePEc:eee:econom:v:197:y:2017:i:1:p:130-152.

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2017Estimation of integrated quadratic covariation with endogenous sampling times. (2017). Potiron, Yoann ; Mykland, Per A. In: Journal of Econometrics. RePEc:eee:econom:v:197:y:2017:i:1:p:20-41.

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2017Determining the number of factors when the number of factors can increase with sample size. (2017). Shi, Yutang ; Li, QI. In: Journal of Econometrics. RePEc:eee:econom:v:197:y:2017:i:1:p:76-86.

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2017Testing for non-correlation between price and volatility jumps. (2017). Jacod, Jean ; Muller, Gernot ; Kluppelberg, Claudia . In: Journal of Econometrics. RePEc:eee:econom:v:197:y:2017:i:2:p:284-297.

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2017Tests of equal accuracy for nested models with estimated factors. (2017). McCracken, Michael ; Goncalves, Silvia ; Perron, Benoit ; Gonalves, Silvia . In: Journal of Econometrics. RePEc:eee:econom:v:198:y:2017:i:2:p:231-252.

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2017Inferences in panel data with interactive effects using large covariance matrices. (2017). Bai, Jushan ; Liao, Yuan. In: Journal of Econometrics. RePEc:eee:econom:v:200:y:2017:i:1:p:59-78.

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2017Econometric analysis of multivariate realised QML: Estimation of the covariation of equity prices under asynchronous trading. (2017). Xiu, Dacheng ; Shephard, Neil. In: Journal of Econometrics. RePEc:eee:econom:v:201:y:2017:i:1:p:19-42.

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2017Nonparametric conditional quantile estimation: A locally weighted quantile kernel approach. (2017). Racine, Jeffrey ; Li, Kevin . In: Journal of Econometrics. RePEc:eee:econom:v:201:y:2017:i:1:p:72-94.

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2017Sufficient forecasting using factor models. (2017). Yao, Jiawei ; Fan, Jianqing ; Xue, Lingzhou . In: Journal of Econometrics. RePEc:eee:econom:v:201:y:2017:i:2:p:292-306.

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2017Generalized dynamic factor models and volatilities: estimation and forecasting. (2017). Hallin, Marc ; Barigozzi, Matteo. In: Journal of Econometrics. RePEc:eee:econom:v:201:y:2017:i:2:p:307-321.

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2017Using principal component analysis to estimate a high dimensional factor model with high-frequency data. (2017). Xiu, Dacheng ; Ait-Sahalia, Yacine. In: Journal of Econometrics. RePEc:eee:econom:v:201:y:2017:i:2:p:384-399.

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2018The ZD-GARCH model: A new way to study heteroscedasticity. (2018). Zhu, Ke ; Ling, Shiqing ; Zhang, Xingfa . In: Journal of Econometrics. RePEc:eee:econom:v:202:y:2018:i:1:p:1-17.

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2018Exponentially tilted likelihood inference on growing dimensional unconditional moment models. (2018). Tang, Niansheng ; Zhao, Puying ; Yan, Xiaodong. In: Journal of Econometrics. RePEc:eee:econom:v:202:y:2018:i:1:p:57-74.

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2017High-dimensional adaptive function-on-scalar regression. (2017). Fan, Zhaohu ; Reimherr, Matthew . In: Econometrics and Statistics. RePEc:eee:ecosta:v:1:y:2017:i:c:p:167-183.

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2017Estimation for semiparametric nonlinear regression of irregularly located spatial time-series data. (2017). Al-Sulami, Dawlah ; Zhu, Jun ; Lu, Zudi ; Jiang, Zhenyu. In: Econometrics and Statistics. RePEc:eee:ecosta:v:2:y:2017:i:c:p:22-35.

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2017Why don’t poor countries do R&D? Varying rates of factor returns across the development process. (2017). Maloney, William ; Goi, Edwin . In: European Economic Review. RePEc:eee:eecrev:v:94:y:2017:i:c:p:126-147.

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2017A retail store SKU promotions optimization model for category multi-period profit maximization. (2017). Ma, Shaohui ; Fildes, Robert . In: European Journal of Operational Research. RePEc:eee:ejores:v:260:y:2017:i:2:p:680-692.

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2017Optimization approaches to Supervised Classification. (2017). Silva, Pedro ; Duarte, Pedro A. In: European Journal of Operational Research. RePEc:eee:ejores:v:261:y:2017:i:2:p:772-788.

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More than 100 citations found, this list is not complete...

Works by Jianqing Fan:


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2011Sparse High-Dimensional Models in Economics In: Annual Review of Economics.
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2008Asset Allocation and Risk Assessment with Gross Exposure Constraints for Vast Portfolios In: Papers.
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2010Vast Volatility Matrix Estimation using High Frequency Data for Portfolio Selection In: Papers.
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2012Vast Volatility Matrix Estimation Using High-Frequency Data for Portfolio Selection.(2012) In: Journal of the American Statistical Association.
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2015Risks of large portfolios.(2015) In: Journal of Econometrics.
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2013Risks of large portfolios.(2013) In: MPRA Paper.
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2015Robust Inference of Risks of Large Portfolios In: Papers.
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2016Robust inference of risks of large portfolios.(2016) In: Journal of Econometrics.
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2004A selective overview of nonparametric methods in financial econometrics In: Papers.
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2005Semilinear High-Dimensional Model for Normalization of Microarray Data: A Theoretical Analysis and Partial Consistency In: Journal of the American Statistical Association.
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2005Rejoinder In: Journal of the American Statistical Association.
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2014Rejoinder.(2014) In: Journal of Business & Economic Statistics.
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2005Nonparametric Inferences for Additive Models In: Journal of the American Statistical Association.
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2006Comment In: Journal of the American Statistical Association.
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2007To How Many Simultaneous Hypothesis Tests Can Normal, Students t or Bootstrap Calibration Be Applied? In: Journal of the American Statistical Association.
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2007To how many simultaneous hypothesis tests can normal students t or bootstrap calibrations be applied.(2007) In: LSE Research Online Documents on Economics.
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2007Multi-Scale Jump and Volatility Analysis for High-Frequency Financial Data In: Journal of the American Statistical Association.
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2007Partially Linear Hazard Regression for Multivariate Survival Data In: Journal of the American Statistical Association.
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2007Dynamic Integration of Time- and State-Domain Methods for Volatility Estimation In: Journal of the American Statistical Association.
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2007Analysis of Longitudinal Data With Semiparametric Estimation of Covariance Function In: Journal of the American Statistical Association.
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2008Semiparametric Estimation of Covariance Matrixes for Longitudinal Data In: Journal of the American Statistical Association.
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2009A Design-Adaptive Local Polynomial Estimator for the Errors-in-Variables Problem In: Journal of the American Statistical Association.
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2009Comment In: Journal of the American Statistical Association.
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2009Nonparametric Transition-Based Tests for Jump Diffusions In: Journal of the American Statistical Association.
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2009Option Pricing With Model-Guided Nonparametric Methods In: Journal of the American Statistical Association.
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2010High-Frequency Covariance Estimates With Noisy and Asynchronous Financial Data In: Journal of the American Statistical Association.
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2011Nonparametric Independence Screening in Sparse Ultra-High-Dimensional Additive Models In: Journal of the American Statistical Association.
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2001Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties In: Journal of the American Statistical Association.
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2001Goodness-of-Fit Tests for Parametric Regression Models In: Journal of the American Statistical Association.
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2001Regularization of Wavelet Approximations In: Journal of the American Statistical Association.
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2003A Reexamination of Diffusion Estimators With Applications to Financial Model Validation In: Journal of the American Statistical Association.
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2004New Estimation and Model Selection Procedures for Semiparametric Modeling in Longitudinal Data Analysis In: Journal of the American Statistical Association.
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2009Nonparametric Modeling of Longitudinal Covariance Structure in Functional Mapping of Quantitative Trait Loci In: Biometrics.
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2015Discussion In: International Statistical Review.
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1999One-step local quasi-likelihood estimation In: Journal of the Royal Statistical Society Series B.
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2000A class of weighted dependence measures for bivariate failure time data In: Journal of the Royal Statistical Society Series B.
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2000Two-step estimation of functional linear models with applications to longitudinal data In: Journal of the Royal Statistical Society Series B.
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2003Adaptive varying-coefficient linear models In: Journal of the Royal Statistical Society Series B.
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2003Adaptive varying co-efficient linear models.(2003) In: LSE Research Online Documents on Economics.
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2000Adaptive varying-coefficient linear models.(2000) In: LSE Research Online Documents on Economics.
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2008Partially linear hazard regression with varying coefficients for multivariate survival data In: Journal of the Royal Statistical Society Series B.
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2008Modelling multivariate volatilities via conditionally uncorrelated components In: Journal of the Royal Statistical Society Series B.
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2008Modelling multivariate volatilities via conditionally uncorrelated components.(2008) In: LSE Research Online Documents on Economics.
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2008Sure independence screening for ultrahigh dimensional feature space In: Journal of the Royal Statistical Society Series B.
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2011Penalized composite quasi‐likelihood for ultrahigh dimensional variable selection In: Journal of the Royal Statistical Society Series B.
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2012Variance estimation using refitted cross‐validation in ultrahigh dimensional regression In: Journal of the Royal Statistical Society Series B.
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2012A road to classification in high dimensional space: the regularized optimal affine discriminant In: Journal of the Royal Statistical Society Series B.
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2013Large covariance estimation by thresholding principal orthogonal complements In: Journal of the Royal Statistical Society Series B.
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2011Large covariance estimation by thresholding principal orthogonal complements.(2011) In: MPRA Paper.
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2015Sparsifying the Fisher linear discriminant by rotation In: Journal of the Royal Statistical Society Series B.
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2000Simultaneous Confidence Bands and Hypothesis Testing in Varying-coefficient Models In: Scandinavian Journal of Statistics.
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2003Semiparametric estimation of Value at Risk In: Econometrics Journal.
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2008High dimensional covariance matrix estimation using a factor model In: Journal of Econometrics.
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2011Testing and detecting jumps based on a discretely observed process In: Journal of Econometrics.
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2013The leverage effect puzzle: Disentangling sources of bias at high frequency In: Journal of Financial Economics.
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2011The Leverage Effect Puzzle: Disentangling Sources of Bias at High Frequency.(2011) In: NBER Working Papers.
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1992Multivariate regression estimation with errors-in-variables: Asymptotic normality for mixing processes In: Journal of Multivariate Analysis.
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2000Average Regression Surface for Dependent Data In: Journal of Multivariate Analysis.
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1992Bias correction and higher order kernel functions In: Statistics & Probability Letters.
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1992Minimax estimation of a bounded squared mean In: Statistics & Probability Letters.
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1999Rates of convergence for the pre-asymptotic substitution bandwidth selector In: Statistics & Probability Letters.
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2009Sparsistency and rates of convergence in large covariance matrix estimation In: LSE Research Online Documents on Economics.
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2008Profile-kernel likelihood inference with diverging number of parameters In: LSE Research Online Documents on Economics.
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2000Functional-coefficient regression models for nonlinear time series In: LSE Research Online Documents on Economics.
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1998Efficient estimation of conditional variance functions in stochastic regression In: LSE Research Online Documents on Economics.
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1996Estimation of conditional densities and sensitivity measures in nonlinear dynamical systems In: LSE Research Online Documents on Economics.
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2004Generalised likelihood ratio tests for spectral density In: Biometrika.
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2004A crossvalidation method for estimating conditional densities In: Biometrika.
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2005Variable selection for multivariate failure time data In: Biometrika.
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2012Endogeneity in ultrahigh dimension In: MPRA Paper.
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1997Local Polynomial Regression: Optimal Kernels and Asymptotic Minimax Efficiency In: Annals of the Institute of Statistical Mathematics.
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1997Comments on «Wavelets in statistics: A review» by A. Antoniadis In: Statistical Methods & Applications.
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2006Regularization in statistics In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research.
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2007Nonparametric inference with generalized likelihood ratio tests In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research.
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2007Rejoinder on: Nonparametric inference with generalized likelihood ratio tests In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research.
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2010Comments on: Dynamic relations for sparsely sampled Gaussian processes In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research.
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2010Comments on: ℓ 1 -penalization for mixture regression models In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research.
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1999Robust principal component analysis for functional data In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research.
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2013Parametrically guided generalised additive models with application to mergers and acquisitions data In: Journal of Nonparametric Statistics.
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2012Vast Portfolio Selection With Gross-Exposure Constraints In: Journal of the American Statistical Association.
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2014Spatially Varying Coefficient Model for Neuroimaging Data With Jump Discontinuities In: Journal of the American Statistical Association.
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2014Nonparametric Independence Screening in Sparse Ultra-High-Dimensional Varying Coefficient Models In: Journal of the American Statistical Association.
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2015Multi-Agent Inference in Social Networks: A Finite Population Learning Approach In: Journal of the American Statistical Association.
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2015Homogeneity Pursuit In: Journal of the American Statistical Association.
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2014Quasi-Maximum Likelihood Estimation of GARCH Models With Heavy-Tailed Likelihoods In: Journal of Business & Economic Statistics.
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2009Finance and Cluster-Based Industrial Development in China In: Economic Development and Cultural Change.
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2015Power Enhancement in High‐Dimensional Cross‐Sectional Tests In: Econometrica.
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2016An overview of the estimation of large covariance and precision matrices In: Econometrics Journal.
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1995Generalized Partially Linear Single-Index Models In: Statistics Working Paper.
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1995Density and Regression Smoothing In: SFB 373 Discussion Papers.
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1996Direct estimation of low dimensional components in additive models In: SFB 373 Discussion Papers.
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