Published research papers by Qiwei Yao



• Edge differentially private estimation in the beta-model via jittering and method of moments. (With J. Chang, Q. Hu, E.D. Kolaczyk and F. Yi.) The Annals of Statistics, in press.

• Factor modelling for clustering high-dimensional time series. (With B. Zhang, G. Pan and W. Zhou.) Journal of the American Statistical Association, in press.

• Simultaneous decorrelation of matrix time series. (With Y. Han, R. Chen and C.-H. Zhang.) Journal of the American Statistical Association, in press.

• Blind source separation over space: an eigenanlysis approach. (With B. Zhang and S. Hao.) Statistica Sinica, in press.

• An autocovariance-based learning framework for high-dimensional functional time series. (With J. Chang, C. Chen, X. Qiao.) Journal of Econometrics, 2024, 239(105385), 1-25.

• Autoregressive networks. (With B. Jiang and J. Li.) Journal of Machine Learning Research, 2023, 24(227), 1-69.

• Modelling matrix time series via a tensor CP-decomposition. (with J. Chang, J. He and L. Yang.) Journal of the Royal Statistical Society, Series B, 2023, 85, 127-148.

• Testing for the Markov property in time series via deep conditional generative learning. (With Y. Zhou, C. Shi and L. Li.) Journal of the Royal Statistical Society, Series B, 2023, 85, 1204-1222.

• Estimation of subgraph density in noisy networks. (with J. Chang and E.D. Kolaczyk.) Journal of American Statistical Association, 2022, 117, 361-374.

• Testing for unit roots based on sample autocovariances. (With J. Chang and G. Cheng.) Biometrika , 2022, 109, 543-550.

• Krigings over space and time based on latent low-dimensional structures. (With D. Huang and R. Zhang.) Science China Mathematics, 2021, 64, 823-848.

• Day-ahead probabilistic forecasting for daily electricity loads and quantiles for curve-to-curve regression. (With X. Xu, Y. Chen and Y Goude.) Applied Energy, 2021, 301, 117456.

• Estimation for double-nonlinear cointegration. (With Y. Lin and Y. Tu.) Journal of Econometrics, 2020, 216, 175-191.

• Error-correction factor models. (With Y. Tu and R. Zhang.) Statistica Sinica, 2020, 30, 14630-1484.

• On testing a high-dimensional white noise. (With Z. Li, C. Lam and J. Yao.) The Annals of Statistics, 2019, 47, 3382-3412.

• Identifying Cointegration by Eigenanalysis. (R code) (with R. Zhang and P. Robinson). Journal of American Statistical Association, 2019, 114, 916-927.

• Banded spatio-temporal autoregressions (with Z. Gao, Y. Ma and H. Wang). Journal of Econometrics, 2019, 208, 211-230.

• 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.

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

• Testing for high-dimensional white noise using maximum cross correlations (with J. Chang and W. Zhou). Biometrika, 2017, 104, 111-127.

• Estimation for Dynamic and Static Panel Probit Models with Large Individual Effects (with W. Gao and W Bergsma). Journal of Time Series Analysis, 2017, 38, 266-284.

• Estimating conditional mean and difference between conditional mean and conditional median (with L. Peng). Statistics & Probability Letters, 2017, 127, 14-22.

• High Dimensional and Banded Vector Autoregressions (with S. Guo and Y. Wang). Biometrika, 2016, 103, 889-903.

• Generalized Yule-Walker Estimation for Spatio-Temporal Models with Unknown Diagonal Coefficients (with B. Dou and M.L. Parrella). Journal of Econometrics, 2016, 194, 369-382.

• Modelling multivariate volatilities via latent common factors (with W. Li, Gao, J. and K Li). Journal of Business & Economic Statistics, 2016, 34, 564-573.

• Estimation of extreme quantiles for functions of dependent random variables (R-codes) (with J. Gong, Y. Li and L. Peng). Journal of the Royal Statistical Society, Series B, 2015, 77, 1001-1024.

• Matching a distribution by matching quantiles estimation (R-codes) (with N. Sgouropoulos and C. Yastremiz). Journal of the American Statistical Association, 2015, 110, 742-759.

• High Dimensional Stochastic Regression with Latent Factors, Endogeneity and Nonlinearity (with J. Chang and B. Guo). J. Econometrics 2015, 189, 297-312.

• Modelling and forecasting daily electricity load curves: a hybrid approach (A supplementary) (with H. Cho, Y. Goude and X. Brossat). Journal of the American Statistical Association, 2013, 108, 7-21.

• 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.

• 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). Journal of the American Statistical Association, 2011, 106, 1025-1040.

• Estimation for latent factors for high-dimensional time series (with C. Lam and N. Bathia). Biometrika , 2011, 98, 901-918.

• Identifying the finite dimensionality of curve time series (with N. Bathia and F. Ziegelmann). The Annals of Statistics, 2010, 38, 3352-3386.

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

• Adaptively varying coefficient spatio-temporal models (with Z Lu, DJ Steinskog and D Tjostheim). Journal of the Royal Statistical Society, Series B, 2009, 71, 859-880.

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

• On determination of cointegration ranks (with Q.Li and J.Pan). Statistics and Its Interface, 2009, 2, 45-56.

• 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). Journal of the Royal Statistical Society, Series 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.

• Spatial smoothing, nugget effect and infill asymptotics (with Z Lu and D Tjostheim). Statistics and Probability Letters, 2008, 18, 3145-3151.

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

• To how many simulataneous hypothesis tests can normal, student's t or bootstrap calibration be applied? (with J.Fan and P.Hall). Journal of the American Statistical Association, 2007, 102, 1282-1288.

• Exploring spatial nonlinearity using additive approximation (with Z.Lu, A.Lundervold, D.Tjostheim). Bernoulli, 2007, 13, 447-472.

• Weighted least absolute deviations estimation for ARMA models with infinite variance (with J.Pan and H. Wang). Econometric Theory, 2007, 23, 852-879.

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

• Gaussian maximum likelihood estimation for ARMA models II: spatial processes (with P.J. Brockwell). Bernoulli, 2006, 12, 403-429.

• Gaussian maximum likelihood estimation for ARMA models I: time series (with P.J. Brockwell). Journal of Time Series Analysis, 2006, 27, 857-875.

• Estimation for conditional distribution functions via dimension reduction (with P.Hall). The Annals of Statistics, 2005, 33, 1404-1421.

• 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.

• Smoothing for spatio-temporal models and its application in modelling muskrat-mink interaction (with W.Zhang, H.Tong and N.C.Stenseth). Biometrics. 2003, 59, 813-821.

• 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). Journal of the Royal Statistical Society, Series B. 2003, 65, 57-80.

• Date tilting for time series (with P.Hall). Journal of the Royal Statistical Society, Series B. 2003, 65, 425-442.

• Inference in components of variance models with low replication (with P. Hall). The Annals of Statistics 2003, 31, 414-441.

• Exponential inequalities for spatial processes and uniform convergence rates for density estimation In Development of Modern Statistics and Related Topics --- In Celebration of Professor Yaoting Zhang's 70th Birthday, J. Huang and H. Zhang (edit.), 118-128, 2003. World Scientific, Singapore.

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

• Moving-maximum models for extrema of time series (with P.Hall and L.Peng). J. Stats. Plann. Inference, 2002, 103, 51-63.

• 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). Journal of the Royal Statistical Society, Series B. 2001, 63, 357-375.

• Bootstrap estimation of actual significance levels for tests based on estimated nuisance parameters (with W.Zhang and H.Tong). Statistics and Computing. 2001, 11, 367-371.

• Conditional minimum volume predictive regions for stochastic processes (with W. Polonik). Journal of the American Statistical Association, 2000, 95, 509-519.

• Functional-coefficient regression models for nonlinear time series (with Z. Cai and J. Fan). Journal of the American Statistical Association, 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.

• Empirical transform estimation for indexed stochastic models (with B.J.T. Morgan). Journal of the Royal Statistical Society, Series B, 1999, 61, 127-41.

• Methods for estimating a conditional distribution function (with P. Hall & R.C.L. Wolff). Journal of the American Statistical Association, 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.

• Conditional boundary crossing probabilities and two-stage tests for a change-point. Scandi. J. Statist. 1996, 23, 511-25.

• 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). Journal of the Royal Statistical Society, Series B, 1994, 56, 701-25.

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

• Boundary crossing probabilities of some random fields related to likelihood ratio test for epidemic alternatives. J. Appl. Probab. 1993, 30, 52-65.

• Asymptotically optimal detection of a change in a linear model. Sequential Analysis, 1993, 12, 201-210.

• Tests for change-points with epidemic alternatives. Biometrika, 1993, 80, 179-91.
  

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