Journal Articles
[16] Bo Zhang, Jiti Gao, Guangming Pan, Yanrong Yang. (2025). Identifying the structure of high-dimensional time series via eigen-analysis. https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3496388. Accepted by Journal of the American Statistical Association.
[15] Bin Peng, Liangjun Su, Joakim Westerlund, Yanrong Yang. (2023). Interactive effects panel data models with general factors and regressors. Econometric Theory, 41, 472 - 488. https://arxiv.org/pdf/2111.11506.pdf.
[14] Lingyu He, Yanrong Yang, Bo Zhang (2022). Robust PCA for high-dimensional data based on characteristic function. Under Review. Australian and New Zealand Journal of Statistics. Accepted.
[13] Qingliang Fan, Ruike Wu, Yanrong Yang, Wei Zhong. (2022). Time-varying minimum variance portfolio. Journal of Econometrics. To appear. https://doi.org/10.1016/j.jeconom.2022.08.007
[12] Yuan Gao, Han Lin Shang, Yanrong Yang (2022). Factor-augmented smoothing model for functional data. Statistica Sinica. To appear. https://doi.org/10.5705/ss.202021.0223
[11] Chen Tang, Han Lin Shang, Yanrong Yang (2022). Clustering and forecasting multiple functional time series. Annals of Applied Statistics. 16(4), 2523 - 2553.
[10] Yang Yang, Yanrong Yang, Han Lin Shang (2021). Feature extraction for functional time series: theory and application to NIR spectroscopy data. Journal of Multivariate Analysis. 189, 104863.
[9] Xiaoyi Han, Bin Peng, Yanrong Yang, Huanjun Zhu (2021). Shrinkage estimation of the varying-coefficient model with continuous and categorical covariates. Economics Letters. 202, 109819.
[8] Jianjie Shi, Lingyu He, Fei Huang, Yanrong Yang (2021). Mortality forecasting: time-varying or constant factor loadings? Insurance: Mathematics and Economics. 98, 14-34.
[7] Bin Jiang, Yanrong Yang, Jiti Gao, Cheng Hsiao (2021). Recursive estimation in large panel data models: theory and practice. Journal of Econometrics. 224(2) 439-465.
[6] Yuan Gao, Hanlin Shang, Yanrong Yang (2019). High dimensional functional time series analysis: an application to age-specific mortality rates. Journal of Multivariate Analysis. 170, 232-243.
[5] Jiti Gao, Xiao Han, Guangming Pan, Yanrong Yang (2017). High dimensional correlation matrices: CLT and its applications. Journal of the Royal Statistical Society: Series B. 79(3) 677-693.
[4] Yanrong Yang, Guangming Pan (2015). Independence test for high dimensional data based on regularized canonical correlation coefficients. Annals of Statistics. 43(2) 467-500.
[3] Guangming Pan, Jiti Gao, Yanrong Yang (2014). Test independence among a large number of high dimensional random vectors. Journal of the American Statistical Association. 109(506) 600-612.
[2] Yanrong Yang, Guangming Pan (2012). The convergence of the empirical distribution of canonical correlation coefficients. Electronic Journal of Probability. 17(64) 1-13.
[1] Haifeng Fu, Xin Jin, Guangming Pan, Yanrong Yang (2012). Estimating multiple option greeks simultaneously using random parameter regression. Journal of Computational Finance. 16(2), 85-118.
Book Chapters
[2] Gao, Yuan, Shang, Han Lin, Yang, Yanrong (2020). ‘Modelling functional data with high-dimensional error structure’, Functional and High-Dimensional Statistics and Related Fields, Springer, pp. 99-106
[1] Gao, Yuan, Shang, Han Lin, Yang, Yanrong (2017). ‘High-dimensional functional time series forecasting’, Functional Statistics and Related Fields, Springer, pp. 131-136
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Under Progress
[1] Ruike Wu, Yanrong Yang, Hanlin Shang, Huanjun Zhu. (2025). Making Uncertainty Learning Feasible on High-dimensional Portfolio Seleciton. Major Revision on JOE.
[2] Qingliang Fan, Ruike Wu, Yanrong Yang (2025). Robust minimum variance portfolio for a large universe of assets. Major Revision on JOE.
[3] Chen Tang, Hanlin Shang, Yanrong Yang. (2025). Multi-population mortality forecasting using high-dimensional functional factor models. https://arxiv.org/pdf/2109.04146.pdf Major Revision on JRSSA.
[4] Daning Bi, Xiao Han, Adam Nie, Yanrong Yang (2025). Spiked eigenvalues of high-dimensional sample auto-covariance matrices: CLT and its applications. https://arxiv.org/pdf/2201.03181.pdf , Reject and Resubmission on JRSSB.
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