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Bickel, Peter; Li, Bo; Tsybakov, Alexandre; Geer, Sara; … - In: TEST: An Official Journal of the Spanish Society of … 15 (2006) 2, pp. 271-344

Persistent link: https://www.econbiz.de/10005613248

Robust principal component analysis for functional data

Locantore, N.; Marron, J.; Simpson, D.; Tripoli, N.; … - In: TEST: An Official Journal of the Spanish Society of … 8 (1999) 1, pp. 1-73

Persistent link: https://www.econbiz.de/10005613253

Dynamic Integration of Time- and State-Domain Methods for Volatility Estimation

Fan, Jianqing; Fan, Yingying; Jiang, Jiancheng - In: Journal of the American Statistical Association 102 (2007) June, pp. 618-631

Persistent link: https://www.econbiz.de/10005532560

Comment

Fan, Jianqing; Fan, Yingying - In: Journal of the American Statistical Association 101 (2006) September, pp. 991-994

Persistent link: https://www.econbiz.de/10005532632

Vast Volatility Matrix Estimation using High Frequency Data for Portfolio Selection

Fan, Jianqing; Li, Yingying; Yu, Ke - arXiv.org - 2010

Portfolio allocation with gross-exposure constraint is an effective method to increase the efficiency and stability of selected portfolios among a vast pool of assets, as demonstrated in Fan et al (2008). The required high-dimensional volatility matrix can be estimated by using high frequency...

Persistent link: https://www.econbiz.de/10008565901

Comments on: ℓ <Subscript>1</Subscript>-penalization for mixture regression models

Fan, Jianqing; Lv, Jinchi - In: TEST: An Official Journal of the Spanish Society of … 19 (2010) 2, pp. 264-269

Persistent link: https://www.econbiz.de/10008674091

Nonparametric Inferences for Additive Models

Fan, Jianqing; Jiang, Jiancheng - In: Journal of the American Statistical Association 100 (2005) September, pp. 890-907

Persistent link: https://www.econbiz.de/10005733974

New Estimation and Model Selection Procedures for Semiparametric Modeling in Longitudinal Data Analysis

Fan, Jianqing; Li, Runze - In: Journal of the American Statistical Association 99 (2004) 1, pp. 710-723

Persistent link: https://www.econbiz.de/10005734217

Semiparametric estimation of Value at Risk

Fan, Jianqing; Gu, Juan - In: The econometrics journal 6 (2003) 2, pp. 261-290

Persistent link: https://www.econbiz.de/10007458523

Theory and Methods - Analysis of Longitudinal Data With Semiparametric Estimation of Covariance Function

Fan, Jianqing; Huang, Tao; Li, Runze - In: Journal of the American Statistical Association : JASA 102 (2007) 478, pp. 632-641

Persistent link: https://www.econbiz.de/10007741784