Clifford Lam

London School of Economics and Political Science — United Kingdom

Mathematics · Physical Sciences

13h-index968citations44works1.22yr avg
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Research Topics

Statistical Methods and Inference(12), Complex Systems and Time Series Analysis(6), Random Matrices and Applications(6), Tensor decomposition and applications(6), Statistical Methods and Bayesian Inference(5)

Publications44 total

Inference on Dynamic Spatial Autoregressive Models with Change Point Detection
Journal of Business and Economic Statistics·2025Open Access
Matrix-valued factor model with time-varying main effects
Journal of Econometrics·2025
Sparsity of the Main Effect Matrix Factor Model
arXiv (Cornell University)·2025Open Access
Tensor time series imputation through tensor factor modelling
Journal of Econometrics·2025· 3 citedOpen Access
On Testing Kronecker Product Structure in Tensor Factor Models
arXiv (Cornell University)·2025Open Access
Inference on Dynamic Spatial Autoregressive Models with Change Point Detection
arXiv (Cornell University)·2024Open Access
Debiasing Alternative Data for Credit Underwriting Using Causal Inference
arXiv (Cornell University)·2024Open Access
Matrix-valued Factor Model with Time-varying Main Effects
arXiv (Cornell University)·2024Open Access
Factor Strength Estimation in Vector and Matrix Time Series Factor Models
arXiv (Cornell University)·2024· 1 citedOpen Access
Tensor Time Series Imputation through Tensor Factor Modelling
arXiv (Cornell University)·2024· 1 citedOpen Access
Rank and factor loadings estimation in time series tensor factor model by pre-averaging
The Annals of Statistics·2024· 10 cited
Matrix-Valued Factor Model with Time-Varying Main Effects
SSRN Electronic Journal·2024Open Access
Tensor Time Series Imputation Through Tensor Factor Modelling
SSRN Electronic Journal·2024Open Access
Rank and Factor Loadings Estimation in Time Series Tensor Factor Model by Pre-averaging
arXiv (Cornell University)·2022· 3 citedOpen Access
High-dimensional covariance matrix estimation
London School of Economics and Political Science Research Online (London School of Economics and Political Science)·2020Open Access
On testing for high-dimensional white noise
The Annals of Statistics·2019· 34 citedOpen Access
High‐dimensional covariance matrix estimation
Wiley Interdisciplinary Reviews Computational Statistics·2019· 44 cited
Estimation and Selection of Spatial Weight Matrix in a Spatial Lag Model
Journal of Business and Economic Statistics·2019· 107 citedOpen Access
On testing for high-dimensional white noise
arXiv (Cornell University)·2018· 5 citedOpen Access
A nonparametric eigenvalue-regularized integrated covariance matrix estimator for asset return data
Journal of Econometrics·2018· 13 citedOpen Access
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Frequent Co-authors

Qiwei Yao(7), Zetai Cen(6), Neil Bathia(4), Ruey Huei Yeh(4), Jianqing Fan(4), Pedro Souza(4), Zetai Cen(4), Weilin Chen(3), Zeng Li(2), Jianfeng Yao(2), C. Ming Wang(2), Phoenix Feng(2), Charlie C. Hu(1), C. Ming Wang(1), Kaixin Liu(1), Yudong Chen(1), Yudong Chen(1)