Dr. Clifford Lam

Biography

Clifford Lam is a Professor of Statistics at the London School of Economics and Political Science. His research primarily focuses on statistical learning techniques, particularly in high dimensional data and time series analysis. He has created methodologies for estimation of large covariance and precision matrices using recent advancements in random matrix theories. His work spans various scientific fields including finance, bioinformatics, macroeconomics, and astrophysics. Specifically, he applies high dimensional time series modelling to discover underlying factors that influence time series dynamics, such as market factors affecting stock prices in the FTSE 100 index. Lam emphasizes the importance of spatial econometrics in his research, applying spatial lag/error models to large spatial panel time series data. He utilizes spatial weight matrices to better understand spatial interdependence in complex datasets. Prior to joining LSE in 2008, he completed his PhD in the Department of Operations Research and Financial Engineering at Princeton University.

Research Interests