Nonlinear Time Series (by Qiwei Yao)
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Nonlinear Regression Estimation Using Subset-based Kernel
Principal Components.
(with Y. Ke and D. Li.)
Statistica Sinica, 2018, 28, 2771-2794.
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High dimensional stochastic regression with latent factors, endogeneity and
nonlinearity.
(with J. Chang and B. Guo.)
Journal of Econometrics., 2015, 189, 297-312.
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Estimation in the Presence of Many Nuisance Parameters:
composite likelihood and plug-in likelihood.
(with B. Wu and S. Zhu.) Stochastic Processes and their Applications, 2013, 123, 2877-2898.
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Nonparametric transfer function models.
(With J.M.Liu and R.Chen.) Journal of Econometircs, 2010, 157, 151-164.
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Approximating volatilities by asymmetric
power GARCH functions. (With J.Penzer and M.Wang.) Austrialia New
Zealand J Statist., 2009, 51, 201-225.
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Modelling multivariate volatilities
via conditionally uncorrelated components.
(With J.Fan and M.Wang.)
J. Roy. Statist. Soc. B, 2008, 70, 679-702.
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Testing for multivariate volatility functions.
(With W.Polonik.) Joural of Econometrics, 2008, 147, 151-162.
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Estimating GARCH models: when to use what?
(With D.Huang and H.Wang.) Econometrics Journal, 2008, 11, 27-38.
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Bootstrap tests for simple structures in nonparametric
time series regression.
(With J.P. Kreiss & M. Nuemann.) Statistics and Its Interface, 2008, 1, 367-380.
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Adaptive varying-coefficient linear
models for stochastic processes: asymptotic theory.
(With Z.Lu and D.Tjostheim)
Statistica Sinica, 2007, 17, 177-197.
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Modelling multivariate volatilities: an ad hoc
approach.
(With M.Wang)
In Contemporary Multivariate Analysis and
Experimental Designs -- In Celebration of Professor Kai-Tai Fang's
65th Brithday, J. Fan & G. Li
(edit.), 2005, 87-97. World Scientific, Singapore.
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Nonparametric regression under infinite variance dependent errors.
(With L. Peng)
Annals of the Institute of
Statistical Mathematics, 2004, 56, 73-86.
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Statistical tests for Lyapunov
exponents of deterministic systems.
(With R.C. Wolff and H.Tong)
Studies in Nonlinear Dynamics and Econometrics,
2004, 8, 2 (Article 10).
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Least absolute deviations estimation for ARCH and
GARCH models. (With L.Peng)
Biometrika. 2003, 90, 967-975.
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Inference in ARCH and GARCH models. (With P. Hall)
Econometrica.
2003, 71, 285-317.
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Adaptive varying-coefficient linear models.
(With J.Fan and Z.Cai.)
J. Roy. Statist. Soc. B.
2003, 65, 57-80.
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Date tilting for time series. (With P.Hall)
J. Royal Statist. Soc, B.
2003, 65, 425-442.
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Asymptotics of set-indexed conditional
empirical processes based on dependent data.
(With W. Polonik)
J. Multivariate Analysis .
2002, 80, 234-255.
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Prediction and nonparametric estimation for time series with heavy tails.
(With P.Hall and L.Peng)
J. Time Series Analysis, 2002, 23, 313-331.
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Nonparametric estimation and symmetry
tests for conditional density functions.
(With R.J. Hyndman)
J. Nonparametric Statist.
2002, 14, 259-278.
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Smoothing for discrete-valued time series.
(With Z.Cai and W.Zhang)
J. Royal Stat. Soc. B. 2001, 63, 357-375.
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Conditional minimum volume predictive regions for stochastic processes.
(With W. Polonik) J. Ameri. Statist. Assoc. 2000, 95, 509-519.
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Functional-coefficient regression models for nonlinear time series.
(With Z. Cai and J. Fan) J. Ameri. Statist. Assoc. 2000, 95, 941-956.
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Common structure in panels of short time series. (With H.Tong, B.Finkenstaedt and
N.C.Stenseth) Proceeding Royal Soc. Land. B. 2000, 267, 2457-2467.
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Nonparametric estimation of ratios of noise to signal
in stochastic regressions. (With H. Tong) Statistica Sinica, , 2000, 10, 751-770.
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Methods for estimating a conditional distribution function. (With P. Hall
& R.C.L. Wolff) J. Ameri. Statist. Assoc. 1999, 94, 154-63.
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Efficient estimation of conditional
variance functions in stochastic regression.
(With J. Fan)
Biometrika, 1998, 85, 645-60.
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Linearity testing using local polynomial approximation.
(With V. Hjellvik & D.Tjostheim)
J. Statist. Plann. Inference, 1998, 68, 295-321.
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Cross-validatory bandwidth selections for regression
estimation based on dependent data. (With H.Tong)
J. Statist. Plann. Inference, 1998, 68, 387-415.
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A bootstrap detection for operational determinism. (With H Tong)
Physica, D, 1998, 115, 49-58.
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Estimation of conditional densities and sensitivity measures
in nonlinear dynamical systems. (With J. Fan & H. Tong)
Biometrika, 1996, 83, 189-206.
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Asymmetric least squares regression
estimation: a nonparametric approach. (With H.Tong)
J. Nonparametric Statist. 1996, 6, 273-292.
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On initial-condition sensitivity and prediction in
nonlinear stochastic systems. (With H.Tong)
Bull. Int. Statist. Inst. 1995, IP 10.3, 395-412.
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On prediction and chaos in stochastic systems. (With H. Tong)
Phil. Trans. Roy. Soc. Land. A, 1994, 348, 357-69.
(The extended version is published in Chaos and Forecasting , 1995,
ed. by H Tong, World Scientific, Singapore, 57-86.)
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Quantifying the inference of
initial values on nonlinear prediction.
(With H. Tong)
J. Roy. Statist. Soc. B, 1994, 56, 701-25.
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On subset selection in non-parametric
stochastic regression. (With H. Tong)
Statistica Sinica, 1994, 4, 51-70.
Last update: 14 June 2019
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