research
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07/12/2023
Sparse factor models of high dimension
We consider the estimation of factor model-based variance-covariance mat...
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12/23/2021
Sparse M-estimators in semi-parametric copula models
We study the large sample properties of sparse M-estimators in the prese...
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10/29/2020
Post-selection inference with HSIC-Lasso
Detecting influential features in complex (non-linear and/or high-dimens...
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08/16/2018