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

2014

Lam, Clifford and Souza, Pedro C.L. (2014) Detection and estimation of block structure in spatial weight matrix Econometric Reviews. ISSN 0747-4938

2012

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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