| Publication | Date of Publication | Type |
|---|
Threshold models for high-dimensional time series with network structure
Journal of Multivariate Analysis | 2026-01-19 | Paper |
Change point estimation for high-dimensional time series with network structure
Electronic Journal of Statistics | 2025-09-26 | Paper |
Adaptive Lasso regression against heteroscedastic idiosyncratic factors in the covariates
Statistics and Its Interface | 2023-09-15 | Paper |
| Modile as a conservative tail risk measurer: the solution of an optimisation problem with 0-1 loss function | 2023-06-21 | Paper |
A new active zero set descent algorithm for least absolute deviation with generalized LASSO penalty
Journal of the Korean Statistical Society | 2023-06-20 | Paper |
New concepts of principal component analysis based on maximum separation of clusters
Communications in Statistics. Simulation and Computation | 2022-06-21 | Paper |
In defense of LASSO
Communications in Statistics: Theory and Methods | 2022-06-01 | Paper |
GARCH-type factor model
Journal of Multivariate Analysis | 2022-05-23 | Paper |
Empirical likelihood method for longitudinal data generated from unequally-spaced Lèvy processes
Journal of the Korean Statistical Society | 2022-04-27 | Paper |
Variable selection under multicollinearity using modified log penalty
Journal of Applied Statistics | 2022-02-25 | Paper |
A descent algorithm for constrained LAD-Lasso estimation with applications in portfolio selection
Journal of Applied Statistics | 2022-02-24 | Paper |
Clustering of subsample means based on pairwise L1 regularized empirical likelihood
Annals of the Institute of Statistical Mathematics | 2021-08-18 | Paper |
Markowitz portfolio and the blur of history
International Journal of Theoretical and Applied Finance | 2021-01-29 | Paper |
Testing stochastic orders in tails of contingency tables
Journal of Applied Statistics | 2020-09-30 | Paper |
Removing the singularity of a penalty via thresholding function matching
Journal of the Korean Statistical Society | 2020-05-07 | Paper |
Logical and test consistency in pairwise multiple comparisons
Journal of Statistical Planning and Inference | 2020-02-28 | Paper |
Hypothesis testing via a penalized-likelihood approach
Journal of the Korean Statistical Society | 2019-04-30 | Paper |
Going beyond oracle property: selection consistency and uniqueness of local solution of the generalized linear model
Statistical Methodology | 2019-03-18 | Paper |
Modified SCAD penalty for constrained variable selection problems
Statistical Methodology | 2019-03-13 | Paper |
Information criterion of seriously over-fitting change-point models
Statistics and Its Interface | 2018-05-14 | Paper |
Change-point estimators with true identification property
Bernoulli | 2017-09-21 | Paper |
Regularized LRT for large scale covariance matrices: one sample problem
Journal of Statistical Planning and Inference | 2016-11-04 | Paper |
Shrinkage estimation of mean-variance portfolio
International Journal of Theoretical and Applied Finance | 2016-04-01 | Paper |
Comparison of non-nested models under a general measure of distance
Journal of Statistical Planning and Inference | 2015-12-28 | Paper |
Stochastic integral convergence: a white noise calculus approach
Electronic Journal of Statistics | 2015-10-28 | Paper |
A fast algorithm to sample the number of vertexes and the area of the random convex hull on the unit square
Computational Statistics | 2015-03-05 | Paper |
Model comparison with composite likelihood information criteria
Bernoulli | 2014-11-11 | Paper |
Model comparison with composite likelihood information criteria
Bernoulli | 2014-11-11 | Paper |
Fractional constant elasticity of variance model
(available as arXiv preprint) | 2013-08-01 | Paper |
Statistical inference for non-stationary GARCH(\(p\),\(q\)) models
Electronic Journal of Statistics | 2013-05-27 | Paper |
A note on asymptotic inference for FIGARCH\((p,d,q)\) models
Statistics and Its Interface | 2011-12-01 | Paper |
Normality test for multivariate conditional heteroskedastic dynamic regression models
Economics Letters | 2011-05-10 | Paper |
| Composite likelihood for time series models with a latent autoregressive process | 2011-02-10 | Paper |
Generating random \(\mathrm{AR}(p)\) and \(\mathrm{MA}(q)\) Toeplitz correlation matrices
Journal of Multivariate Analysis | 2010-05-05 | Paper |
Trimmed portmanteau test for linear processes with infinite variance
Journal of Multivariate Analysis | 2010-03-01 | Paper |
Stochastic integrals driven by fractional Brownian motion and arbitrage: a tale of two integrals
Quantitative Finance | 2009-11-16 | Paper |
