Sangyeol Lee

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
Sequential monitoring process for bivariate signed integer-valued autoregressive models Journal of the Korean Statistical Society	2026-04-02	Paper
Robust monitoring conditional volatility change for time series based on support vector regression Communications in Statistics. Simulation and Computation	2025-10-01	Paper
Modeling and inferences for bivariate signed integer-valued autoregressive models Journal of the Korean Statistical Society	2025-07-24	Paper
Modeling and inferences for possibly negatively-correlated multivariate time series of counts based on INGARCH scheme Statistics	2025-05-11	Paper
Modeling and inferences for bounded multivariate time series of counts Journal of the Korean Statistical Society	2025-02-10	Paper
Maximum likelihood estimation of elliptical tail Journal of Multivariate Analysis	2025-01-03	Paper
Bayesian causality test for integer-valued time series models with applications to climate and crime data Journal of the Royal Statistical Society. Series C. Applied Statistics	2024-11-29	Paper
Multiple values-inflated bivariate INAR time series of counts: featuring zero-one inflated Poisson-Lindly case Journal of the Korean Statistical Society	2024-11-26	Paper
Markov switching integer-valued generalized auto-regressive conditional heteroscedastic models for dengue counts Journal of the Royal Statistical Society. Series C. Applied Statistics	2024-11-21	Paper
Robust estimation for general integer-valued autoregressive models based on the exponential-polynomial divergence Journal of Statistical Computation and Simulation	2024-08-13	Paper
Sequential online monitoring for autoregressive time series of counts Journal of the Korean Statistical Society	2024-07-30	Paper
Comprehensive interval-valued time series model with application to the S\&P 500 index and PM2.5 level data analysis Applied Stochastic Models in Business and Industry	2024-07-30	Paper
Parameter change test for location-scale time series models with heteroscedasticity based on bootstrap Applied Stochastic Models in Business and Industry	2024-07-18	Paper
Monitoring change point for diffusion parameter based on discretely observed sample from stochastic differential equation models Applied Stochastic Models in Business and Industry	2024-07-18	Paper
Test for conditional quantile change in general conditional heteroscedastic time series models Annals of the Institute of Statistical Mathematics	2024-03-16	Paper
Robust estimation for bivariate integer-valued autoregressive models based on minimum density power divergence Journal of Statistical Computation and Simulation	2024-01-23	Paper
Conditional quantile change test for time series based on support vector regression Communications in Statistics. Simulation and Computation	2024-01-23	Paper
Monitoring photochemical pollutants based on symbolic interval-valued data analysis Advances in Data Analysis and Classification. ADAC	2023-12-02	Paper
Monitoring parameter change for bivariate time series models of counts Journal of the Korean Statistical Society	2023-10-04	Paper
Change point test for structural vector autoregressive model via independent component analysis Journal of Statistical Computation and Simulation	2023-09-19	Paper
Multiple values-inflated time series of counts: modeling and inference based on INGARCH scheme Journal of Statistical Computation and Simulation	2023-09-19	Paper
Bivariate random coefficient integer‐valued autoregressive models: Parameter estimation and change point test Journal of Time Series Analysis	2023-08-24	Paper
Exponential family QMLE-based CUSUM test for integer-valued time series Communications in Statistics. Simulation and Computation	2023-07-18	Paper
Monitoring parameter change for time series models with application to location-Scale heteroscedastic models Journal of Statistical Computation and Simulation	2023-03-07	Paper
Modeling and inference for multivariate time series of counts based on the INGARCH scheme Computational Statistics and Data Analysis	2022-10-17	Paper
Maximum composite likelihood estimation for spatial extremes models of Brown-Resnick type with application to precipitation data Scandinavian Journal of Statistics	2022-10-06	Paper
Mean targeting estimation for integer-valued time series with application to change point test Communications in Statistics: Theory and Methods	2022-08-01	Paper
Test for conditional quantile change in GARCH models Journal of the Korean Statistical Society	2022-07-05	Paper
On causality test for time series of counts based on poisson ingarch models with application to crime and temperature data Communications in Statistics. Simulation and Computation	2022-06-30	Paper
Risk measurement for conditionally heteroscedastic location-scale time series models with ASTD and AEPD innovations Journal of Statistical Computation and Simulation	2022-06-22	Paper
On residual CUSUM statistic for PINAR(1) model in statistical design and diagnostic of control chart Communications in Statistics. Simulation and Computation	2022-06-21	Paper
Recent progress in parameter change test for integer-valued time series models Journal of the Korean Statistical Society	2022-04-27	Paper
Omnibus goodness of fit test based on quadratic distance Journal of Statistical Computation and Simulation	2022-03-24	Paper
Modeling and inference for counts time series based on zero-inflated exponential family INGARCH models Journal of Statistical Computation and Simulation	2022-03-23	Paper
Monitoring procedures for strict stationarity based on the multivariate characteristic function Journal of Multivariate Analysis	2022-03-01	Paper
Location and scale-based CUSUM test with application to autoregressive models Journal of Statistical Computation and Simulation	2022-02-23	Paper
Minimum density power divergence estimator for covariance matrix based on skew t distribution Statistical Methods and Applications	2022-01-14	Paper
On CUSUM test for dynamic panel models Statistical Methods and Applications	2021-12-13	Paper
Symbolic interval-valued data analysis for time series based on auto-interval-regressive models Statistical Methods and Applications	2021-11-18	Paper
Asymptotic properties of mildly explosive processes with locally stationary disturbance Metrika	2021-06-28	Paper
Robust estimation for general integer-valued time series models Annals of the Institute of Statistical Mathematics	2021-05-25	Paper
Bayesian inference of nonlinear hysteretic integer-valued GARCH models for disease counts Computational Statistics	2021-02-25	Paper
Goodness-of-fit tests for parametric specifications of conditionally heteroscedastic models Test	2021-01-25	Paper
Residual-based CUSUM of squares test for Poisson integer-valued GARCH models Journal of Statistical Computation and Simulation	2020-04-27	Paper
On entropy goodness-of-fit test based on integrated distribution function Journal of Statistical Computation and Simulation	2020-04-23	Paper
Bootstrap entropy test for general location-scale time series models with heteroscedasticity Journal of Statistical Computation and Simulation	2020-04-23	Paper
On first-order integer-valued autoregressive process with Katz family innovations Journal of Statistical Computation and Simulation	2020-04-22	Paper
Robust estimation for zero-inflated poisson autoregressive models based on density power divergence Journal of Statistical Computation and Simulation	2020-04-22	Paper
Monitoring parameter shift with Poisson integer-valued GARCH models Journal of Statistical Computation and Simulation	2020-04-22	Paper
On entropy-based goodness-of-fit test for asymmetric Student-\(t\) and exponential power distributions Journal of Statistical Computation and Simulation	2020-04-22	Paper
A local unit root test in mean for financial time series Journal of Statistical Computation and Simulation	2020-04-01	Paper
CUSUM test for general nonlinear integer-valued GARCH models: comparison study Annals of the Institute of Statistical Mathematics	2019-10-22	Paper
Modified residual CUSUM test for location-scale time series models with heteroscedasticity Annals of the Institute of Statistical Mathematics	2019-10-22	Paper
On score vector- and residual-based CUSUM tests in ARMA-GARCH models Statistical Methods and Applications	2019-09-11	Paper
Inferential procedures based on the integrated empirical characteristic function AStA. Advances in Statistical Analysis	2019-09-11	Paper
Test for tail index constancy of GARCH innovations based on conditional volatility Annals of the Institute of Statistical Mathematics	2019-08-13	Paper
Maximum entropy test for GARCH models Statistical Methodology	2019-03-13	Paper
Copula parameter change test for nonlinear AR models with nonlinear GARCH errors Statistical Methodology	2019-03-13	Paper
Minimum density power divergence estimator for Poisson autoregressive models Computational Statistics and Data Analysis	2018-11-23	Paper
Change point detection in SCOMDY models AStA. Advances in Statistical Analysis	2018-11-08	Paper
Monitoring mean shift in INAR(1)s processes based on CLSE-CUSUM procedure	2018-11-02	Paper
Goodness of fit test for discrete random variables Computational Statistics and Data Analysis	2018-11-02	Paper
Monitoring parameter change for time series models with conditional heteroscedasticity Economics Letters	2018-09-11	Paper
Entropy test and residual empirical process for autoregressive conditional duration models Computational Statistics and Data Analysis	2018-08-21	Paper
Generalized Poisson autoregressive models for time series of counts Computational Statistics and Data Analysis	2018-08-15	Paper
Nonlinear expectile regression with application to value-at-risk and expected shortfall estimation Computational Statistics and Data Analysis	2018-08-15	Paper
A maximum entropy type test of fit Computational Statistics and Data Analysis	2018-08-14	Paper
On change point test for ARMA-GARCH models: bootstrap approach Journal of the Korean Statistical Society	2018-05-03	Paper
Asymptotic normality and parameter change test for bivariate Poisson INGARCH models Test	2018-03-23	Paper
Mildly explosive autoregression with mixing innovations Journal of the Korean Statistical Society	2018-02-09	Paper
On Fisher's dispersion test for integer-valued autoregressive Poisson models with applications Communications in Statistics: Theory and Methods	2017-12-15	Paper
Estimation of the tail exponent of multivariate regular variation Annals of the Institute of Statistical Mathematics	2017-11-16	Paper
scientific article; zbMATH DE number 6775515 (Why is no real title available?)	2017-09-18	Paper
A maximum entropy type test of fit: composite hypothesis case Computational Statistics and Data Analysis	2017-06-29	Paper
Robust estimation for the covariance matrix of multivariate time series based on normal mixtures Computational Statistics and Data Analysis	2017-06-29	Paper
Quantile regression for location-scale time series models with conditional heteroscedasticity Scandinavian Journal of Statistics	2016-09-21	Paper
Local non-stationarity test in mean for Markov switching GARCH models: an approximate Bayesian approach Computational Statistics	2016-08-04	Paper
Parameter change test for zero-inflated generalized Poisson autoregressive models Statistics	2016-07-19	Paper
Goodness-of-fit test for the SVM based on noisy observations STATISTICA SINICA	2016-07-15	Paper
Entropy-based goodness of fit test for a composite hypothesis Bulletin of the Korean Mathematical Society	2016-06-17	Paper
Parameter change test for autoregressive conditional duration models Annals of the Institute of Statistical Mathematics	2016-05-20	Paper
On the tail index inference for heavy-tailed GARCH-type innovations Annals of the Institute of Statistical Mathematics	2016-04-04	Paper
Maximum entropy test for autoregressive models Uncertainty Analysis in Econometrics with Applications	2015-10-09	Paper
On the maximum likelihood estimator for irregularly observed time series data from COGARCH(1,1) models	2015-06-12	Paper
Parameter change test for nonlinear time series models with GARCH type errors Journal of the Korean Mathematical Society	2015-05-22	Paper
Monitoring test for stability of copula parameter in time series Journal of the Korean Statistical Society	2015-01-26	Paper
Change point test for tail index of scale-shifted processes Statistics & Risk Modeling	2015-01-22	Paper
Parameter Change Test for Poisson Autoregressive Models Scandinavian Journal of Statistics	2014-12-09	Paper
The Bickel-Rosenblatt test for continuous time stochastic volatility models Test	2014-10-17	Paper
Constancy test for FARIMA long memory processes Journal of the Korean Statistical Society	2014-09-30	Paper
Change point test of tail index for autoregressive processes Journal of the Korean Statistical Society	2014-09-26	Paper
Monitoring parameter changes for random coefficient autoregressive models Journal of the Korean Statistical Society	2014-08-06	Paper
Robust estimation for the covariance matrix of multi-variate time series Journal of Time Series Analysis	2014-08-06	Paper
A note on the Jarque-Bera normality test for GARCH innovations Journal of the Korean Statistical Society	2014-08-04	Paper
Large bandwidth asymptotics for Nadaraya-Watson auto-regression estimator Journal of the Korean Statistical Society	2014-07-31	Paper
Test for dispersion constancy in stochastic differential equation models Applied Stochastic Models in Business and Industry	2014-05-06	Paper
Change point detection in copula ARMA-GARCH models Journal of Time Series Analysis	2014-02-25	Paper
Goodness-of-fit test for stochastic volatility models Journal of Multivariate Analysis	2014-01-10	Paper
Robust estimation for copula parameter in SCOMDY models Journal of Time Series Analysis	2013-10-09	Paper
Value-at-risk forecasting based on Gaussian mixture ARMA–GARCH model Journal of Statistical Computation and Simulation	2013-04-16	Paper
Quantile regression estimator for GARCH models Scandinavian Journal of Statistics	2013-03-20	Paper
The CUSUM of squares test for the stability of regression models with non-stationary regressors Economics Letters	2013-01-29	Paper
Minimum density power divergence estimator for diffusion processes Annals of the Institute of Statistical Mathematics	2013-01-28	Paper
Robust estimation for the order of finite mixture models Metrika	2012-09-23	Paper
Inference for Box-Cox transformed threshold GARCH models with nuisance parameters Scandinavian Journal of Statistics	2012-09-21	Paper
Change point test for tail index for dependent data Metrika	2011-11-30	Paper
Monitoring parameter change in time series models Statistical Methods and Applications	2011-09-27	Paper
A divergence test for autoregressive time series models Statistical Methodology	2011-08-17	Paper
Change point test for dispersion parameter based on discretely observed sample from SDE models Bulletin of the Korean Mathematical Society	2011-08-16	Paper
Normality test for multivariate conditional heteroskedastic dynamic regression models Economics Letters	2011-05-10	Paper
Jarque-Bera normality test for the driving Lévy process of a discretely observed univariate SDE Statistical Inference for Stochastic Processes	2011-04-08	Paper
Parameter change test for random coefficient integer-valued autoregressive processes with application to polio data analysis Journal of Time Series Analysis	2011-02-22	Paper
Test for parameter change in discretely observed diffusion processes Statistical Inference for Stochastic Processes	2011-02-15	Paper
Minimum density power divergence estimator for GARCH models Test	2011-01-22	Paper
Test for tail index change in stationary time series with Pareto-type marginal distribution Bernoulli	2010-11-15	Paper
On the goodness of fit test for discretely observed sample from diffusion processes: divergence measure approach Journal of the Korean Mathematical Society	2010-11-12	Paper
Robust estimation for order of hidden Markov models based on density power divergences Journal of Statistical Computation and Simulation	2010-09-17	Paper
Posterior consistency of species sampling priors	2010-05-25	Paper
Normal mixture quasi-maximum likelihood estimator for GARCH models	2010-04-22	Paper
Trimmed portmanteau test for linear processes with infinite variance Journal of Multivariate Analysis	2010-03-01	Paper
The monitoring test for the stability of regression models with nonstationary regressors Economics Letters	2009-12-21	Paper
Monitoring Distributional Changes in Autoregressive Models Communications in Statistics: Theory and Methods	2009-11-16	Paper
Consistency of minimizing a penalized density power divergence estimator for mixing distribution Statistical Papers	2009-06-02	Paper
A model selection criterion based on the BHHJ measure of divergence Journal of Statistical Planning and Inference	2008-12-08	Paper
Estimation of a tail index based on minimum density power divergence Journal of Multivariate Analysis	2008-11-27	Paper
Test for parameter change in ARMA models with GARCH innovations Statistics & Probability Letters	2008-09-29	Paper
RESIDUAL EMPIRICAL PROCESS FOR DIFFUSION PROCESSES Journal of the Korean Mathematical Society	2008-06-18	Paper
Jump diffusion model with application to the Japanese stock market Mathematics and Computers in Simulation	2008-06-18	Paper
Test for Parameter Change in Linear Processes Based on Whittle's Estimator Communications in Statistics: Theory and Methods	2007-10-24	Paper
Diagnostic test for unstable autoregressive models Statistics	2007-09-03	Paper
Experimental observation of dynamic stabilization in a double-well Duffing oscillator Physics Letters. A	2007-08-10	Paper
Moving estimates test with time varying bandwidth Journal of Multivariate Analysis	2007-07-19	Paper
Fixed-width confidence interval based on a minimum Hellinger distance estimator Journal of Statistical Planning and Inference	2006-10-05	Paper
Sequential empirical process in autoregressive models with measurement errors Journal of Statistical Planning and Inference	2006-10-05	Paper
Test for parameter change in diffusion processes by CUSUM statistics based on one-step estimators Annals of the Institute of Statistical Mathematics	2006-09-12	Paper
Test for parameter change based on the estimator minimizing density-based divergence meas\-ures Annals of the Institute of Statistical Mathematics	2006-09-06	Paper
Test for Parameter Change in ARIMA Models Communications in Statistics. Simulation and Computation	2006-08-10	Paper
The Bickel--Rosenblatt test for diffusion processes Statistics & Probability Letters	2006-08-04	Paper
Cusum test for parameter change in GARCH (1, 1) models with application to Tokyo stock data	2006-06-14	Paper
A test for independence of two stationary infinite order autoregressive processes Annals of the Institute of Statistical Mathematics	2006-03-09	Paper
Kernel density estimator for strong mixing processes Journal of Statistical Planning and Inference	2005-06-27	Paper
Test for parameter change in stochastic processes based on conditional least-squares estimator Journal of Multivariate Analysis	2005-05-12	Paper
The Cusum Test for Parameter Change in Regression Models with ARCH Errors JOURNAL OF THE JAPAN STATISTICAL SOCIETY	2005-04-19	Paper
scientific article; zbMATH DE number 2148871 (Why is no real title available?)	2005-03-21	Paper
Bounding the optimal burn-in time for a system with two types of failure Naval Research Logistics	2005-02-22	Paper
Cusum Test for Parameter Change Based on the Maximum Likelihood Estimator Sequential Analysis	2005-01-18	Paper
Comparison of steady system availability with imperfect repair Applied Stochastic Models in Business and Industry	2004-11-24	Paper
The Cusum Test for Parameter Change in Time Series Models Scandinavian Journal of Statistics	2004-11-24	Paper
On the cusum of squares test for variance change in nonstationary and nonparametric time series models Annals of the Institute of Statistical Mathematics	2004-10-05	Paper
A family of IDMRL tests with unknown turning point Statistics	2004-03-08	Paper
A nonparametric test for the change of the density function in strong mixing processes. Statistics & Probability Letters	2004-02-14	Paper
Testing Heterogeneity for Frailty Distribution in Shared Frailty Model Communications in Statistics: Theory and Methods	2003-09-14	Paper
ON THE CAUSALITY TEST IN TIME SERIES MODELS WITH HEAVY-TAILED DISTRIBUTION Communications in Statistics. Simulation and Computation	2003-08-05	Paper
The sequential estimation in stochastic regression model with random coefficients Statistics & Probability Letters	2003-06-18	Paper
An asymptotically optimal selection of the order of a linear process Sankhyā. Series A. Methods and Techniques	2003-02-16	Paper
The Cusum of Squares Test for Scale Changes in Infinite Order Moving Average Processes Scandinavian Journal of Statistics	2002-11-21	Paper
On the Bickel-Rosenblatt test for first-order autoregressive models Statistics & Probability Letters	2002-09-05	Paper
Coefficient constancy test in AR-ARCH models Statistics & Probability Letters	2002-09-05	Paper
Sequential point estimation of parameters in a threshold AR(1) model Stochastic Processes and their Applications	2002-08-29	Paper
On the Cusum test for parameter changes in garch(1,1) Models Communications in Statistics: Theory and Methods	2002-07-28	Paper
ON THE KOLMOGOROV-SMIRNOV TYPE TEST FOR TESTING NONLINEARITY IN TIME SERIES Communications in Statistics: Theory and Methods	2002-07-28	Paper
A nonparametric goodness of fit test for strong mixing processes Annales de l'I.S.U.P.	2002-03-26	Paper
On functional limit theorems for multivariate linear processes with applications to sequential estimation Journal of Statistical Planning and Inference	2001-03-07	Paper
The asymptotic behavior of the empirical process based on a linear process under some contiguous alternatives Journal of Statistical Planning and Inference	2000-09-26	Paper
Coefficient constancy test in a random coefficient autoregressive model Journal of Statistical Planning and Inference	1999-11-09	Paper
On residual empirical processes of stochastic regression models with applications to time series The Annals of Statistics	1999-11-09	Paper
The asymptotic maximin property of chi-squared type tests based on the empirical process Statistics & Probability Letters	1999-02-03	Paper
A note on the residual empirical process in autoregressive models Statistics & Probability Letters	1998-12-02	Paper
Sequential estimation for the autocorrelations of linear processes The Annals of Statistics	1998-11-08	Paper
A random functional central limit theorem for stationary linear processes generated by martingales Statistics & Probability Letters	1998-04-23	Paper
On the quantile process based on the autoregressive residuals. Journal of Statistical Planning and Inference	1998-01-01	Paper
Random central limit theorem for the linear process generated by a strong mixing process Statistics & Probability Letters	1997-12-17	Paper
A trimmed mean of location of an AR\((\infty)\) stationary process Journal of Statistical Planning and Inference	1996-06-06	Paper
Sequential estimation for the parameters of a stationary auto regressive model Sequential Analysis	1994-12-21	Paper
Sequential estimation of the mean vector of a multivariate linear process Journal of Multivariate Analysis	1994-11-20	Paper
sequential estimation of the mean of a linear process Sequential Analysis	1992-09-27	Paper

Research outcomes over time

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