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Yingying Fan
Lecturer on Statistics
Research Interests
- Nonparametric statistics
- Financial econometrics and statistical inference for stochastic processes
- Machine learning and high dimensional classification
- Bioinformatics and microarray data analysis
Education
- Ph.D. in Operations Research and Financial Engineering, Princeton University, June 2007.
- M.S. in Operations Research and Financial Engineering, Princeton University, June 2006.
- B.S. in Statistics and Finance, University of Science and Technology of China, July 2003.
Experience
- July 2007 - now, Lecturer, Department of Statistics, Harvard University
- February 2007 - May 2007, Research Assistant, Department of Operations Research and Financial Engineering, Princeton University
- September 2004 - January 2007, Teaching Assistant, Department of Operations Research and Financial Engineering, Princeton University
Sample Publications
- Fan, J. and Fan, Y. (2007). High dimensional classification using features annealed independence rules. The Annals of Statistics, to appear.
- Fan, J., Fan, Y. and Jiang, J. (2007). Dynamic integration of time- and state-domain methods for volatility estimation. Journal of the American Statistical Association, 102, 618-631.
- Fan, J., Fan, Y. and Lv, J. (2007). Aggregation of nonparametric estimators for volatility matrix. Journal of Financial Econometrics, 5, 321-357.
- Fan, J. and Fan, Y. (2006). Comment on "Quantile autoregression." Journal of the American Statistical Association, 101, 991-994.
- Fan, J., Fan, Y. and Lv, J. (2006). High dimensional covariance matrix estimation using a factor model. Journal of Econometrics, to appear.
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