Manuscripts
To be Published
- Fan, J. and Gu, Y. (2023+).
Factor Augmented Sparse Throughput Deep ReLU Neural Networks for High Dimensional Regression.
Journal of American Statistical Association. Soft Codes in Python
- Fan, J., Lou, Z. and Yu, M. (2023+).
Robust High-dimensional Tuning Free Multiple Testing.
Annals of Statistics, to appear
- Shin, M., Kim, D. and Fan, J. (2023+).
Adaptive robust large volatility matrix estimation based on high-frequency financial data.
Journal of Econometrics, to appear.
- Zhu, X., Xu, G., and Fan, J. (2023+).
Simultaneous Estimation and Group Identification for Network Vector Autoregressive Model with Heterogeneous Nodes .
Journal of Econometrics, to appear.
- Fan, J., Xue, L., and Zhou, Y. (2023+).
How much can machines learn finance from Chinese text data?
Management Science, to appear.
- Fan, J., Lou, Z. and Yu, M. (2023+).
Are Latent Factor Regression and Sparse Regression Adequate?
Journal of American Statistical Association, to appear.
- Chen, E. Y., Fan, J., and Zhu, X. (2022+).
Community Network Auto-Regression for High-Dimensional Time Series
Journal of Econometrics, to appear.
- Fan, J., Guo, Y., Yu, M. (2022+).
Policy Optimization Using Semiparametric Models for Dynamic Pricing.
Journal of American Statistical Association, to appear. .
- Fan, J., Yu, M., and Yang, Z. (2022+).
Understanding implicit regularization in over-parameterized nonlinear statistical model.
Journal of American Statistical Association.
Under Review
- Bhattacharya, S., Fan, J., and Hou, J. (2023).
Inferences on mixing probabilities and ranking in mixed-membership models.
Manuscript.
- Fan, J., Lou, Z., Wang, W., and Yu, M. (2023).
Spectral Ranking Inferences based on General Multiway Comparisons.
Manuscript.
- Fan, J., Ge, J., and Mukherjee, D. (2023).
UTOPIA: Universally Trainable Optimal Prediction Intervals Aggregation.
Manuscript.
- Yan, Y., Su, W.J. and Fan, J. (2023).
The Isotonic Mechanism for Exponential Family Estimation.
Manuscript.
- Li, G., Yan, Y.L., Chen, Y., and Fan, J. (2023).
Minimax-Optimal Reward-Agnostic Exploration in Reinforcement Learning.
Manuscript.
- Fan, J., Fang,C., Gu, Y., and Zhang, T.(2023)
Environment Invariant Linear Least Squares.
Manuscript.
- Ge, J., Tang, S., Fan,J., and Jin, C.
On the Provable Advantage of Unsupervised Pretraining.
Manuscript
- Bayle, P., Fan, J, and Lou, Z. (2023).
Communication-Efficient Distributed Estimation and Inference for Cox's Model
Manuscript
- Bhattacharya, S., Fan, J., and Mukherjee, D. (2023).
Deep Neural Networks for Nonparametric Interaction Models with Diverging Dimension
Manuscript
- Fan J., Liu, Q., and Zheng, K. (2023).
Unearthing Financial Statement Fraud: Insights from News Coverage Analysis.
Manuscript.
- Fan, J., Hou, J., and Yu, M. (2022).
Uncertainty Quantification of MLE for Ranking with Covariates.
Manuscript.
- Fan, J., Lou, Z., Wang, W. and Yu, M. (2022).
Ranking Inferences Based on the top Choice of Multiway Comparisons.
Manuscript.
- Fan, J., Fan, Y., Lv, J., and Yang, F. (2022).
SIMPLE-RP: Group Network Inference with Non-Sharp Nulls and Weak Signals.
Manuscript.
- Bayle, P. and Fan, J. (2022).
Factor-Augmented Regularized Model for Hazard Regression.
Manuscript.
- Yu, M., Yang, Z., and Fan, J. (2022).
Strategic Decision-Making in the Presence of Information Asymmetry: Provably Efficient RL with Algorithmic Instruments.
Manuscript.
- Wang, B. and Fan, J. (2022).
Robust Matrix Completion with Heavy-tailed Noise.
Manuscript.
- Yan, Y., Li, G., Chen, Y., and Fan, J. (2022).
Model-Based Reinforcement Learning Is Minimax-Optimal for Offline Zero-Sum Markov Games.
Manuscript.
- Fan, J., Ke, Z., Liao, Y., and Neuhierl (2022).
Structural Deep Learning in Conditional Asset Pricing.
Manuscript.
- A\"it-Sahalia, Y., Fan, J., Xue, L., and Zhou, Y. (2022).
How and when are high-frequency prices predicable?
Manuscript.
- Fan, J., Gu, Y., and Zhou, W.-X. (2022)
How do noise tails impact on Deep ReLU Networks?
Manuscript.
- Shin, M., Kim, D., Wang, Y. and Fan, J. (2021).
Factor and idiosyncratic VAR-Ito volatility models for heavy-tailed high-frequency financial data.
Manuscript.
- Yan, Y., Chen, Y., and Fan, J. (2021).
Inference for Heteroskedastic PCA with Missing Data.
Manuscript.
- Chen, E. Y., Xia, D., Cai, C. and Fan, J. (2020).
Semiparametric tensor factor analysis by iteratively projected SVD.
Manuscript. Python Code
- Fan, J., Guo, Y., and Zhu, Z. (2020).
When is best subset selection the ``best''?
Manuscript.
- Giessing, A. and Fan, J. (2020).
Bootstrapping $\ell_p$-statistics in high dimensions.
Manuscript.
- Silin, I. and Fan, J. (2020).
Hypothesis testing for eigenspaces of covariance matrix.
Manuscript.
- Fan, J., Wang, Z., Xie, Y., and Yang, Z. (2020).
A Theoretical Analysis of Deep Q-Learning.
Manuscript.
- Fan, J., Weng, H. and Zhou, Y. (2019).
Optimal estimation of functionals of high-dimensional mean and covariance matrix.
Manuscript.
- Ke, Z., Bose, K., and Fan, J. (2018).
Higher Moment Estimation for Elliptically-distributed Data: Is it Necessary to Use a Sledgehammer to Crack an Egg?
Manuscript.
- Fan, J., Liu, H., Wang, Z. and Yang, Z. (2018).
Curse of Heterogeneity: Computational Barriers in Sparse Mixture Models and Phase Retrieval.
Manuscript.
- Balasubramanian, K., Fan, J., and Yang, Z. (2018).
Tensor methods for additive index models under discordance and heterogeneity.
Manuscript.
- Fan, J. and Zhong, Y. (2018).
Optimal subspace estimation using overidentifying vectors via generalized method of moments.
Manuscript.