Large-Dimensional Factor Analysis Without Moment Constraints

Robust factor number specification for large-dimensional elliptical factor model

(2019) Long Yu et al.   JOURNAL OF MULTIVARIATE ANALYSIS

Large covariance estimation through elliptical factor models

(2018) Jianqing Fan et al.   ANNALS OF STATISTICS

ECA: High-Dimensional Elliptical Component Analysis in Non-Gaussian Distributions

(2017) Fang Han et al.   JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION

A randomised sequential procedure to determine the number of factors

(2017) Lorenzo Trapani   JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION

Testing for pure-jump processes for high-frequency data

(2015) Xin-Bing Kong et al.   ANNALS OF STATISTICS

Theory and methods of panel data models with interactive effects

(2014) Jushan Bai et al.   ANNALS OF STATISTICS

Eigenvalue Ratio Test for the Number of Factors

(2013)   ECONOMETRICA

Scale-Invariant Sparse PCA on High-Dimensional Meta-Elliptical Data

(2013) Fang Han et al.   JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION

Large covariance estimation by thresholding principal orthogonal complements

(2013) Jianqing Fan et al.   JOURNAL OF THE ROYAL STATISTICAL SOCIETY SERIES B-STATISTICAL METHODOLOGY

Modeling high-frequency financial data by pure jump processes

(2012) Bing-Yi Jing et al.   ANNALS OF STATISTICS

Statistical analysis of factor models of high dimension

(2012) Jushan Bai et al.   ANNALS OF STATISTICS

Covariance regularization by thresholding

(2009) Peter J. Bickel et al.   ANNALS OF STATISTICS

Testing Hypotheses About the Number of Factors in Large Factor Models

(2009)   ECONOMETRICA