Lam, Clifford


Dr Clifford Lam  

Department

Position held

Department of Statistics

Associate Professor

Experience keywords:

high dimension; portfolio allocation; factor model; nonparametric; variable selection; time series; regularization

Research summary > [Click to expand]

Currently I'm interested in high dimensional time series analysis, with dimension reduction and regularization in particular, e.g. factor modelling of a large panel of time series. This is useful to a number of scientific disciplines like finance, economics, meteorology, bioinformatics, etc. I also research in portfolio analysis. Where state-of-the-art methods are concerned with constraining portfolio weights, I'm interested in regularization towards a portfolio which suits more to real fund managers' trading habits. I also work on nonparametric statistics and variable selection and regularization of large covariance matrices.

Sectors and industries to which research relates:

EnvironmentFinancial ServicesHealthcare

Languages:

Cantonese [Spoken: Fluent, Written: Fluent]; Mandarin [Spoken: Intermediate, Written: Intermediate]

Contact Points

LSE phone number:

+44 (0)207 955 7636

Publications

LSE Research Online, Funnelback Search

2012

Lam, Clifford and Yao, Qiwei (2012) Factor modelling for high dimensional time series: inference for the number of factors Annals of Statistics, 40 (2). 694-726. ISSN 0090-5364

Lam, Clifford and Yao, Qiwei (2012) Factor modeling for high-dimensional time series: inference for the number of factors Annals of Statistics, 40 (2). 694-726. ISSN 0090-5364

2011

Lam, Clifford and Yao, Qiwei and Bathia, Neil (2011) Estimation of latent factors for high-dimensional time series Biometrika, 98 (4). 901-18. ISSN 0006-3444

2009

Lam, Clifford and Fan, Jianqing (2009) Sparsistency and rates of convergence in large covariance matrix estimation The Annals of Statistics, 37 (6B). 4254-4278. ISSN 0090-5364

2008

Lam, Clifford and Fan, Jianqing (2008) Profile-kernel likelihood inference with diverging number of parameters The Annals of Statistics, 36 (5). 2232-2260. ISSN 0090-5364

Lam, Clifford (2008) Estimation of large precision matrices through block penalization Cornell University , Ithaca, USA.


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