Chi Tim Ng

Available identifiers

List of research outcomes

Publication	Date of Publication	Type
Adaptive Lasso regression against heteroscedastic idiosyncratic factors in the covariates	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	2023-06-20	Paper
New concepts of principal component analysis based on maximum separation of clusters	2022-06-21	Paper
In defense of LASSO	2022-06-01	Paper
GARCH-type factor model	2022-05-23	Paper
Empirical likelihood method for longitudinal data generated from unequally-spaced Lèvy processes	2022-04-27	Paper
Variable selection under multicollinearity using modified log penalty	2022-02-25	Paper
A descent algorithm for constrained LAD-Lasso estimation with applications in portfolio selection	2022-02-24	Paper
Clustering of subsample means based on pairwise L1 regularized empirical likelihood	2021-08-18	Paper
MARKOWITZ PORTFOLIO AND THE BLUR OF HISTORY	2021-01-29	Paper
Testing stochastic orders in tails of contingency tables	2020-09-30	Paper
Removing the singularity of a penalty via thresholding function matching	2020-05-07	Paper
Logical and test consistency in pairwise multiple comparisons	2020-02-28	Paper
Hypothesis testing via a penalized-likelihood approach	2019-04-30	Paper
Going beyond oracle property: selection consistency and uniqueness of local solution of the generalized linear model	2019-03-18	Paper
Modified SCAD penalty for constrained variable selection problems	2019-03-13	Paper
Information criterion of seriously over-fitting change-point models	2018-05-14	Paper
Change-point estimators with true identification property	2017-09-21	Paper
Regularized LRT for large scale covariance matrices: one sample problem	2016-11-04	Paper
SHRINKAGE ESTIMATION OF MEAN-VARIANCE PORTFOLIO	2016-04-01	Paper
Comparison of non-nested models under a general measure of distance	2015-12-28	Paper
Stochastic integral convergence: a white noise calculus approach	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	2015-03-05	Paper
Model comparison with composite likelihood information criteria	2014-11-11	Paper
https://portal.mardi4nfdi.de/entity/Q5326965	2013-08-01	Paper
Statistical inference for non-stationary GARCH(\(p\),\(q\)) models	2013-05-27	Paper
A note on asymptotic inference for FIGARCH\((p,d,q)\) models	2011-12-01	Paper
Normality test for multivariate conditional heteroskedastic dynamic regression models	2011-05-10	Paper
https://portal.mardi4nfdi.de/entity/Q3074772	2011-02-10	Paper
Generating random \(\mathrm{AR}(p)\) and \(\mathrm{MA}(q)\) Toeplitz correlation matrices	2010-05-05	Paper
Trimmed portmanteau test for linear processes with infinite variance	2010-03-01	Paper
Stochastic integrals driven by fractional Brownian motion and arbitrage: a tale of two integrals	2009-11-16	Paper

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