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Large-scale multiple testing with highly correlated test statistics arises frequently in many scientific research.
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Efron, B. (2010). Correlated Z-Values and the Accuracy of Large-Scale Statistical Estimates (with discussion). Journal of the American Statistical Association
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Fan, J., Tang, R. & Shi, X. (2012) Partial Consistency in Linear Model with Sparse Incidental Parameters via Penalized Estimation. Technical Report
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Lam, C. & Yao, Q. (2012). Factor Modeling for High-Dimensional Time Series: Inference for the Number of Factors. Annals of Statistics
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Ahn, S. & Horenstein, A. (2013). Eigenvalue Ratio Test for the Number of Factors. Econometrica
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Azriel, D. & Schwartzman, A. (2015). The Empirical Distribution of a Large Number of Correlated Normal Variables. Journal of American Statistical Association
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Huang, N. & Fryzlewicz, P. (2015). NOVELIST Estimator of Large Correlation and Covariance Matrices and Their Inverses. In submission
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