Selected publications
Manuscripts to be published
- Fan, J., Wang, W. and Zhong, Y. (2018+).
An $\ell_{\infty}$ eigenvector perturbation bound and its application to robust covariance estimation.
Journal of Machine Learning Research, to appear.
- Fan, J., Gong, W., and Zhu, Z. (2018+).
Generalized High-Dimensional Trace Regression via Nuclear Norm Regularization.
Journal of Econometrics, to appear.
- Avella-Medina, M., Battey, H., Fan, J., and Li, Q. (2018+).
Robust estimation of high dimensional covariance and precision matrices.
Biometrika , to appear.
- Zhou, W.-X., Bose, K., Fan, J. and Liu, H. (2017+).
A new perspective on robust M-estimation: Finite sample theory and applications to dependence-adjusted multiple testing.
Annals of Statistics , to appear.
- Fan, J., Liu, H., and Wang, W. (2017+).
Large covariance estimation through elliptical factor models.
Annals of Statistics , to appear.
- Fan, J., Wang, W, and Zhong, Y. (2017+)
Robust Covariance Estimation for Approximate Factor Models.
Journal of Econometrics,to appear.
- Fan, J., Shao, Q. and Zhou, W. (2017+)
Are Discoveries Spurious? Distributions of Maximum Spurious Correlations and Their Applications .
Annals of Statistics, to appear.
- Li, Q., Cheng, G., Fan, J., and Wang, Y. (2016+).
Embracing blessing of dimensionality in factor models.
Journal of American Statistical Association, to appear.
- Fan, J. and Kim, D. (2017+).
Robust high-dimensional volatility matrix estimation for high-frequency factor model.
Journal of American Statistical Association, to appear.
- Chen, Z., Fan, J., and Li, R. (2016+).
Error variance estimation in ultrahigh dimensional additive models.
Journal of American Statistical Association , to appear.
- Fan, J., Xue, L., and Zou, H. (2016).
Multi-task quantile regression under the transnormal model.
Journal of American Statistical Association, to appear.
- Battey, H., Fan, J., Liu, H., Lu, J., Zhu, Z. (2015).
Distributed estimation and inference with statistical guarantees.
Annals of Statistics , to appear.
Manuscripts under review
- Bradic, J., Fan, J., and Zhu, Y. (2018).
Testability of high-dimensional linear models with non-sparse structures.
Manuscript
- Fan, J., Jiang, B., and Sun, Q. (2018).
Hoeffding's Inequality for Markov Chains and its Applications to Statistical Learning.
Manuscript.
- Fan, J. and Kim, D. (2017).
Structured Volatility Matrix Estimation for Non-Synchronized High-Frequency Financial Data.
Manuscript.
- Fan, J., Ke, Y., Sun, Q., and Zhou, W.X. (2017).
FARM-Test: Factor-adjusted robust multiple testing with false discovery control.
Manuscript.
- Abbe, E., Fan, J., Wang, K. and Zhong, Y. (2017)
Entrywise eigenvector analysis of random matrices with low expected rank.
Manuscript.
- Fan, J. and Jiang, T. (2017).
Largest entries of sample correlation matrices from equi-correlated normal populations.
Manuscript.
- Chen, Y., Fan, J., Ma, C., and Wang, K. (2017).
Spectral method and regularized MLE are both optimal for Top-$K$ ranking.
Manuscript.
- Kim, D. and Fan, J. (2017).
Factor GARCH-Ito models for high-frequency data with application to large volatility matrix prediction.
Manuscript.
- Fan, J., Wang, D., Wang, K., and Zhu, Z. (2017).
Distributed estimation of principal eigenspaces.
Manuscript.
- Fan, J., Feng, Y. and Xia, L. (2017).
A conditional dependence measure with applications to undirected graphical models.
Manuscript.
- Fan, J., Ke, Y., and Wang, K. (2016).
Decorrelation of covariates for high dimensional sparse regressions.
Manuscript.
R-software package
- Sun, Q., Zhou, W.X., and Fan, J. (2017).
Adaptive Huber regression: optimality and phase transition.
Manuscript.
- Fan, J., Wang, W., and Zhu, Z.W. (2016).
A shrinkage principle for heavy-tailed data:
High-dimensional robust low-rank matrix recovery.
Manuscript.
- Fan, J., Imai, K., Liu, H., Ning, Y., Yang, X. (2016).
Improving Covariate Balancing Propensity Score: A Doubly Robust and Efficient Approach.
Manuscript.
- Wang, S., Fan, J., Pocock, G. and Yuan, M. (2016).
Structured correlation detection with application to colocalization analysis in dual-channel fluorescence microscopic imaging
Manuscript.
- Fan, J., Ke, Y., and Liao, Y. (2016).
Robust factor models with explanatory proxies.
Manuscript.
- Fan, J., Wang, W. and Zhong, Y. (2016).
An $\ell_{\infty}$ eigenvector perturbation bound and its application to robust covariance estimation.
Manuscript.
- Fan, J., Liu, H., Wang, W., and Zhu, Z. (2016).
Heterogeneity adjustment with applications to graphical model inference.
Manuscript.
- Chiang, C.H., Dai, W., Fan, J., Hong, H.G., Tu, J. (2016).
Robust Measures of Earnings Surprisess.
Manuscript.
- Fan, J., Tang, R., and Shi, X. (2017).
Partial consistency with sparse incidental parameters.
Submitted .