L
Lei Qi
Researcher at Princeton University
Publications - 4
Citations - 354
Lei Qi is an academic researcher from Princeton University. The author has contributed to research in topics: Sparse approximation & Estimation theory. The author has an hindex of 4, co-authored 4 publications receiving 314 citations. Previous affiliations of Lei Qi include University of Southern California.
Papers
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Journal ArticleDOI
Sparse High-Dimensional Models in Economics
Jianqing Fan,Jinchi Lv,Lei Qi +2 more
TL;DR: This paper reviews the literature on sparse high dimensional models and discusses some applications in economics and finance, including variable selection methods that are proved to be effective in high dimensional sparse modeling.
Journal ArticleDOI
Quasi-Maximum Likelihood Estimation of GARCH Models With Heavy-Tailed Likelihoods
Jianqing Fan,Lei Qi,Dacheng Xiu +2 more
TL;DR: In this paper, the authors identify an unknown scale parameter ηf that is critical to the identification for consistency and propose a three-step quasi-maximum likelihood procedure with non-Gaussian likelihood functions.
Journal ArticleDOI
Quasi Maximum Likelihood Estimation of GARCH Models with Heavy-Tailed Likelihoods
Jianqing Fan,Lei Qi,Dacheng Xiu +2 more
TL;DR: In this paper, the authors identify an unknown scale parameter that is critical to the identification, and propose a two-step quasi-maximum likelihood procedure with non-Gaussian likelihood functions.
Journal ArticleDOI
Sparse High Dimensional Models in Economics
Jianqing Fan,Jinchi Lv,Lei Qi +2 more
TL;DR: In this paper, the authors review the literature on sparse high-dimensional models and discuss some applications in economics and finance and highlight the recent developments of theory, methods, and implementations in penalized least squares and penalized likelihood methods.