Nonlinear Time Series (by Qiwei Yao)



• Nonlinear Regression Estimation Using Subset-based Kernel Principal Components. (with Y. Ke and D. Li.) Statistica Sinica, 2018, 28, 2771-2794.

• High dimensional stochastic regression with latent factors, endogeneity and nonlinearity. (with J. Chang and B. Guo.) Journal of Econometrics., 2015, 189, 297-312.

• 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.

• Nonparametric transfer function models. (With J.M.Liu and R.Chen.) Journal of Econometircs, 2010, 157, 151-164.

• Approximating volatilities by asymmetric power GARCH functions. (With J.Penzer and M.Wang.) Austrialia New Zealand J Statist., 2009, 51, 201-225.

• Modelling multivariate volatilities via conditionally uncorrelated components. (With J.Fan and M.Wang.) J. Roy. Statist. Soc. B, 2008, 70, 679-702.

• Testing for multivariate volatility functions. (With W.Polonik.) Joural of Econometrics, 2008, 147, 151-162.

• Estimating GARCH models: when to use what? (With D.Huang and H.Wang.) Econometrics Journal, 2008, 11, 27-38.

• Bootstrap tests for simple structures in nonparametric time series regression. (With J.P. Kreiss & M. Nuemann.) Statistics and Its Interface, 2008, 1, 367-380.

• Adaptive varying-coefficient linear models for stochastic processes: asymptotic theory. (With Z.Lu and D.Tjostheim) Statistica Sinica, 2007, 17, 177-197.

• 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.

• Nonparametric regression under infinite variance dependent errors. (With L. Peng) Annals of the Institute of Statistical Mathematics, 2004, 56, 73-86.

• 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).

• Least absolute deviations estimation for ARCH and GARCH models. (With L.Peng) Biometrika. 2003, 90, 967-975.

• Inference in ARCH and GARCH models. (With P. Hall) Econometrica. 2003, 71, 285-317.

• Adaptive varying-coefficient linear models. (With J.Fan and Z.Cai.) J. Roy. Statist. Soc. B. 2003, 65, 57-80.

• Date tilting for time series. (With P.Hall) J. Royal Statist. Soc, B. 2003, 65, 425-442.

• Asymptotics of set-indexed conditional empirical processes based on dependent data. (With W. Polonik) J. Multivariate Analysis . 2002, 80, 234-255.

• Prediction and nonparametric estimation for time series with heavy tails. (With P.Hall and L.Peng) J. Time Series Analysis, 2002, 23, 313-331.

• Nonparametric estimation and symmetry tests for conditional density functions. (With R.J. Hyndman) J. Nonparametric Statist. 2002, 14, 259-278.

• Smoothing for discrete-valued time series. (With Z.Cai and W.Zhang) J. Royal Stat. Soc. B. 2001, 63, 357-375.

• Conditional minimum volume predictive regions for stochastic processes. (With W. Polonik) J. Ameri. Statist. Assoc. 2000, 95, 509-519.

• Functional-coefficient regression models for nonlinear time series. (With Z. Cai and J. Fan) J. Ameri. Statist. Assoc. 2000, 95, 941-956.

• 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.

• Nonparametric estimation of ratios of noise to signal in stochastic regressions. (With H. Tong) Statistica Sinica, , 2000, 10, 751-770.

• Methods for estimating a conditional distribution function. (With P. Hall & R.C.L. Wolff) J. Ameri. Statist. Assoc. 1999, 94, 154-63.

• Efficient estimation of conditional variance functions in stochastic regression. (With J. Fan) Biometrika, 1998, 85, 645-60.

• Linearity testing using local polynomial approximation. (With V. Hjellvik & D.Tjostheim) J. Statist. Plann. Inference, 1998, 68, 295-321.

• Cross-validatory bandwidth selections for regression estimation based on dependent data. (With H.Tong) J. Statist. Plann. Inference, 1998, 68, 387-415.

• A bootstrap detection for operational determinism. (With H Tong) Physica, D, 1998, 115, 49-58.

• Estimation of conditional densities and sensitivity measures in nonlinear dynamical systems. (With J. Fan & H. Tong) Biometrika, 1996, 83, 189-206.

• Asymmetric least squares regression estimation: a nonparametric approach. (With H.Tong) J. Nonparametric Statist. 1996, 6, 273-292.

• On initial-condition sensitivity and prediction in nonlinear stochastic systems. (With H.Tong) Bull. Int. Statist. Inst. 1995, IP 10.3, 395-412.

• 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.)

• Quantifying the inference of initial values on nonlinear prediction. (With H. Tong) J. Roy. Statist. Soc. B, 1994, 56, 701-25.

• On subset selection in non-parametric stochastic regression. (With H. Tong) Statistica Sinica, 1994, 4, 51-70.

  
  

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