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Papers
to appear
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Bradic, J., Fan, J. and Jiang, J. (2010). Regularization for Cox's
proportional hazards model with NP-Dimensionality. The Annals
of Statistics, to appear.
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Fan, J., Han, X., and Gu, W.(2010). Control of the false discovery rate
under arbitrary covariance dependence. Journal of American
Statistical Association, tentatively accepted.
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Fan, J., Guo, S. and Hao, N. (2010). Variance estimation using refitted
cross-validation in ultrahigh dimensional regression. Journal of
Royal Statistical Society, tentatively accepted.
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Fan, J, Feng, Y., and Tong, X. (2010). A ROAD to classification in high
dimensional space. Journal of Royal Statistical Society B,
tentatively accepted.
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Fan, J., Li, Y. and Ke, Y. (2010). Vast volatility matrix estimation using
high frequency data for portfolio selection. Journal of American
Statistical Society, tentatively accepted.
Manuscripts
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Fan,
J. , Liao, Y., and Mincheva, M. (2011). High Dimensional Covariance
Matrix Estimation in Approximate Factor Models. Manuscript
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Fan, J., Zhang, J., and Yu, K.
(2008). Asset Allocation and Risk Assessment with Gross Exposure Constraints
for Vast Portfolios. Manuscript.
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Fan,
J., Li, Y. and Ke, Y. (2010). Vast volatility matrix estimation using
high frequency data for portfolio selection. Manuscript.
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