Publications
High-dimensional Time Series & Tensor Methods
- An interpretable and efficient infinite-order vector autoregressive model for high-dimensional time series, Journal of the American Statistical Association, to appear.
- High-dimensional low-rank tensor autoregressive time series modeling (with Di Wang and Guodong Li), Journal of Econometrics, to appear.
- High-dimensional vector autoregressive time series modeling via tensor decomposition (with Di Wang, Heng Lian, and Guodong Li), Journal of the American Statistical Association, 117, 1338-1356, 2022. <Julia Code>
- Finite time analysis of vector autoregressive models under linear restrictions (with Guang Cheng), Biometrika, 108, 469-489, 2021.
Quantile Regression for Conditional Heteroscedastic Time Series
- Quantile autoregressive conditional heteroscedasticity (with Qianqian Zhu, Songhua Tan, and Guodong Li), Journal of the Royal Statistical Society: Series B, 85, 1099-1127, 2023. <R package>
- Hybrid quantile regression estimation for time series models with conditional heteroscedasticity (with Qianqian Zhu, Guodong Li, and Zhijie Xiao), Journal of the Royal Statistical Society: Series B, 80, 975-993, 2018. <Supplement> <R code>
- Linear double autoregression (with Qianqian Zhu and Guodong Li), Journal of Econometrics. 207, 162–174, 2018. <Supplement>
Robust Inference for Heavy-tailed Time Series
- Least absolute deviations estimation for nonstationary vector autoregressive time series models with pure unit roots (with Jianhong Wu, Wai Keung Li, and Guodong Li), Statistics and Its Interface, 6, 199–216, 2023.
- A robust goodness-of-fit test for generalized autoregressive conditional heteroscedastic models (with Wai Keung Li and Guodong Li), Biometrika, 105, 73–89, 2018. <Supplement>
- Diagnostic checking for Weibull autoregressive conditional duration models (with Yang Li, Wai Keung Li, and Guodong Li), In Li, W.K., Stanford, D.A., Yu, H. (Eds.), Advances in Time Series Methods and Applications: the A. Ian McLeod Festschrift. Springer-Verlag, New York, 2016
- On Fréchet autoregressive conditional duration models (with Yang Li and Guodong Li), Journal of Statistical Planning and Inference, 175, 51–66, 2016.
Undergraduate Publications
