Wei Lan

Peking University - Guanghua School of Management

Peking University

Beijing, Beijing 100871

China

SCHOLARLY PAPERS

8

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Top 33,311

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2,077

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4

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Scholarly Papers (8)

1.

Covariance Regression Analysis

Number of pages: 41 Posted: 10 Dec 2015
Australian National University - Research School of Finance, Actuarial Studies & Statistics, Peking University - Guanghua School of Management, Peking University - Guanghua School of Management and University of California, Davis - Graduate School of Management
Downloads 478 (83,593)
Citation 1

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Covariance Regression; Covariance Matrix Estimation; Positive Definiteness; Portfolio Management

2.

Covariance Matrix Estimation Via Network Structure

Number of pages: 35 Posted: 20 Mar 2016
Peking University - Guanghua School of Management, Sichuan University - Business School, Peking University - Guanghua School of Management and University of California, Davis - Graduate School of Management
Downloads 376 (110,455)

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Adjacency Matrix; Bayesian Information Criterion; Covariance Estimation; Covariance Regression Network Model; High Dimensional Data

3.

A Bayesian Information Criterion for Portfolio Selection

Number of pages: 32 Posted: 17 Jun 2011
Peking University - Guanghua School of Management, Peking University - Guanghua School of Management and University of California, Davis - Graduate School of Management
Downloads 373 (111,411)

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Bayesian Information Criterion, Minimal Variance Portfolio, Portfolio Selection, Risk Diversification

4.

Testing Covariates in High Dimensional Regression

Number of pages: 34 Posted: 05 May 2013
Peking University - Guanghua School of Management, Peking University - Guanghua School of Management and University of California, Davis - Graduate School of Management
Downloads 253 (167,587)
Citation 1

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Generalized Linear Model, High Dimensional Data, Hypotheses Testing, Paid Search Advertising, Partial Covariance, Partial F-Test

5.

Testing the Diagonality of a Large Covariance Matrix in a Regression Setting

Number of pages: 35 Posted: 14 May 2014
Peking University - Guanghua School of Management, Southwestern University of Finance and Economics (SWUFE) - School of Finance, University of California, Davis - Graduate School of Management, Peking University - Guanghua School of Management and Peking University - Guanghua School of Management
Downloads 166 (245,700)
Citation 1

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Bias-Corrected Test; Covariance; Diagonality Test; High Dimensional Data; Multivariate Analysis

6.

Testing a Single Regression Coefficient in High Dimensional Regression Model

Number of pages: 46 Posted: 25 May 2016
Peking University - Guanghua School of Management, Michigan State University, Pennsylvania State University, Peking University - Guanghua School of Management and University of California, Davis - Graduate School of Management
Downloads 158 (256,182)

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Correlated Predictors Screening; False Discovery Rate; High Dimensional Data; Single Coefficient Test

7.

Testing Predictor Significance with Ultra High Dimensional Multivariate Responses

Number of pages: 29 Posted: 03 Dec 2014
Yingying Ma, Wei Lan and Hansheng Wang
Beihang University (BUAA), Peking University - Guanghua School of Management and Peking University - Guanghua School of Management
Downloads 153 (262,861)

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Hypotheses Testing; Multivariate Regression; Paid Search Advertising; Ultra High Dimensional Data

8.

A High Dimensional Two-Sample Test Under a Low Dimensional Factor Structure

Number of pages: 22 Posted: 07 Sep 2015
Yingying Ma, Wei Lan and Hansheng Wang
Beihang University (BUAA), Peking University - Guanghua School of Management and Peking University - Guanghua School of Management
Downloads 120 (316,737)

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China Stock Market; High-dimensional data; Hypothesis testing; Latent factor structure; Two-Sample Test