Research

Publications

1. Tyler, David E. and Mengxi Yi. "Lassoing Eigenvalues." Biometrika. 2020, Vol. 107, No. 2, 397–414.

2. Yi, Mengxi and David E. Tyler. "Shrinking the sample covariance matrix using convex penalties on the matrix-log transformation." Journal of Computational and Graphical Statistics. 2021, Vol. 30, No. 2, 442-451.

3. Muhlmann, Christoph, Klaus Nordhausen and Mengxi Yi. "Multivariate spatial prediction in a blind source separation framework." IEEE Geoscience and Remote Sensing Letters. 2021, Vol. 18, No. 11, 1931-1935.

4. Muhlmann, Christoph, François Bachoc, Klaus Nordhausen and Mengxi Yi. "Test of the Latent Dimension of a Spatial Blind Source Separation Model." Statistica Sinica. 2024, Vol. 34, No. 2, forthcoming.

5. Yi, Mengxi and Klaus Nordhausen. "elasso for Estimating the Signal Dimension in ICA". Proceedings of the European Signal Processing Conference (EUSIPCO). 2023, forthcoming.

Working Papers

1. Yi, Mengxi, David E. Tyler and Klaus Nordhausen. "Breakdown points of penalized and hybrid M-estimators of covariance.". To be submitted.

2. Yi, Mengxi and David E. Tyler. "Algorithm for Robust Penalized Covariance Matrices". To be submitted.

Books

1. Yi, Mengxi and Klaus Nordhausen. Robust and Multivariate Statistical Methods: Festschrift in Honor of David E. Tyler. 2023, Springer, Cham.

Book Chapters

1. Fischer, D., Nordhausen, K., Yi, M. "An Analysis of David E. Tyler’s Publication and Coauthor Network". In: Yi, M., Nordhausen, K. (eds) Robust and Multivariate Statistical Methods. 2023, Springer, Cham.

Selected Grants

• NSFC Grant, Robust Estimation of Covariance Matrices under Geodesic Convex Penalty Functions, 2022-2024, CNY 300,000, PI.

• Austrian Science Fundation (FWF) P-31881, Blind Source Separation in Time and Space, 2019-2022, €399,984.39, Co-PI.

• USA NSF Grants, DMS-1812198，Lassoing Eigenvalues: A classical and a robust approach，2018-2021, $149,997, Co-PI.

Invited Seminars

• University of Georgia, Athens, GA, USA, 2021.9

• University of Jyvaskyla, Jyvaskyla, Finland, 2021.4

Professional Services

• Reviewer for Annals of Statistics, Annals of Applied Probability, Journal of Multivariate Analysis, Scandinavian Journal of Statistics , Statistica Sinica, Econometrics and Statistics.

• Statistical Consultant, Rutgers Office of Statistical Consulting