LSE creators

Number of items: 17.
Public
  • Lam, Clifford, Cen, Zetai (2025). Matrix-valued factor model with time-varying main effects. Journal of Econometrics, 252(A). https://doi.org/10.1016/j.jeconom.2025.106105 picture_as_pdf
  • Cen, Zetai, Lam, Clifford (2025). Tensor time series imputation through tensor factor modelling. Journal of Econometrics, 249(Part B). https://doi.org/10.1016/j.jeconom.2025.105974 picture_as_pdf
  • Chen, Weilin, Lam, Clifford (2024). Rank and factor loadings estimation in time series tensor factor model by pre-averaging. Annals of Statistics, 52(1), 364 - 391. https://doi.org/10.1214/23-AOS2350 picture_as_pdf
  • Lam, Clifford (2020). High-dimensional covariance matrix estimation. Wiley Interdisciplinary Reviews: Computational Statistics, 12(2). https://doi.org/10.1002/wics.1485 picture_as_pdf
  • Li, Zeng, Lam, Clifford, Yao, Jianfeng, Yao, Qiwei (2019). On testing for high-dimensional white noise. Annals of Statistics, 47(6), 3382 - 3412. https://doi.org/10.1214/18-AOS1782 picture_as_pdf
  • Lam, Clifford, Souza, Pedro C.L. (2019). Estimation and selection of spatial weight matrix in a spatial lag model. Journal of Business and Economic Statistics, https://doi.org/10.1080/07350015.2019.1569526 picture_as_pdf
  • Lam, Clifford, Feng, Phoenix (2018). A nonparametric eigenvalue-regularized integrated covariance matrix estimator for asset return data. Journal of Econometrics, 206(1), 226-257. https://doi.org/10.1016/j.jeconom.2018.06.001
  • Lam, Clifford, Feng, Phoenix, Hu, Charlie (2017). Nonlinear shrinkage estimation of large integrated covariance matrices. Biometrika, 104(2), 481-488. https://doi.org/10.1093/biomet/asx021
  • Lam, Clifford (2016). Nonparametric eigenvalue-regularized precision or covariance matrix estimator. Annals of Statistics, 44(3), 928-953. https://doi.org/10.1214/15-AOS1393
  • Lam, Clifford, Souza, Pedro C.L. (2015). Detection and estimation of block structure in spatial weight matrix. Econometric Reviews, https://doi.org/10.1080/07474938.2015.1085775
  • Lam, Clifford, Yao, Qiwei (2012). Factor modeling for high-dimensional time series: inference for the number of factors. Annals of Statistics, 40(2), 694-726. https://doi.org/10.1214/12-AOS970
  • Lam, Clifford, Yao, Qiwei, Bathia, Neil (2011). Estimation of latent factors for high-dimensional time series. Biometrika, 98(4), 901-18. https://doi.org/10.1093/biomet/asr048
  • Lam, Clifford, Fan, Jianqing (2009). Sparsistency and rates of convergence in large covariance matrix estimation. Annals of Statistics, 37(6B), 4254-4278. https://doi.org/10.1214/09-AOS720
  • Lam, Clifford, Fan, Jianqing (2008). Profile-kernel likelihood inference with diverging number of parameters. Annals of Statistics, 36(5), 2232-2260. https://doi.org/10.1214/07-AOS544
  • Lam, Clifford (2008). Estimation of large precision matrices through block penalization. Cornell University.
    • Restricted
  • Cen, Zetai, Lam, Clifford (2025). On testing Kronecker product structure in tensor factor models. Biometrika, https://doi.org/10.1093/biomet/asaf072 picture_as_pdf
  • Cen, Zetai, Chen, Yudong, Lam, Clifford (2025). Inference on dynamic spatial autoregressive models with change point detection. Journal of Business and Economic Statistics, https://doi.org/10.1080/07350015.2025.2572768 picture_as_pdf