High-dimensional time series, dimension reduction and
factor models (by Qiwei Yao)
-
Error-correction factor models.
(With Y. Tu and R. Zhang.)
Statistica Sinica, to appear.
-
On testing a high-dimensional white noise.
(With Z. Li, J. Yao and C. Lam.)
Annals of Statistics, to appear.
-
Identifying Cointegration by Eigenanalysis.
(R code)
(with R. Zhang and P. Robinson.)
Journal of American Statistical Association, 2019, 114, 916-927.
-
Principal component analysis for second-order stationary
vector time series
(with J. Chang and B. Guo).
The Annals of Statistics, 2018, 46, 2094-2124.
-
Confidence Regions for Entries of a Large Precision Matrix
(With J. Chang, Y Qiu. and T. Zou).
Journal of Econometrics, 2018, 206, 57-82.
-
Testing for high-dimensional white noise using maximum cross correlations.
(With J. Chang and W. Zhou.)
Biometrika., 2017, 104, 111-127.
-
High Dimensional and Banded Vector Autoregressions.
(with S. Guo and Y. Wang.)
Biometrika., 2016, 103, 889-903.
-
High Dimensional Stochastic Regression with Latent Factors,
Endogeneity and Nonlinearity.
(with J. Chang and B. Guo.)
Journal of Econometrics., 2015, 189, 297-312.
-
Factor modelling for high-dimensional time series: inference
for the number of factors.
(With C Lam.)
The Annals of Statistics, 2012, 40, 694-726.
-
Large volatility matrix inference via combining low-frequency and high-frequency
approaches
(With M Tao, Y Wang and J Zou.)
J. Ameri. Statist. Assoc., 2011, 106, 1025-1040.
-
Estimation for latent factors for high-dimensional time series
(with C. Lam and N. Bathia.)
Biometrika , 2011, 98, 901-918.
-
Modelling multiple time series via common factors.
(With J.Pan.) Biometrika, 2008, 95, 365-379.
-
Modelling multivariate volatilities
via conditionally uncorrelated components.
(With J.Fan and M.Wang.)
J. Roy. Statist. Soc. B, 2008, 70, 679-702.
Last update: 14 June 2019
Qiwei Yao Home Page
Department Home Page