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07/10/2023
Two-Sample and Change-Point Inference for Non-Euclidean Valued Time Series
Data objects taking value in a general metric space have become increasi...
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06/08/2023
Matrix GARCH Model: Inference and Application
Matrix-variate time series data are largely available in applications. H...
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03/14/2023
High-Dimensional Dynamic Pricing under Non-Stationarity: Learning and Earning with Change-Point Detection
We consider a high-dimensional dynamic pricing problem under non-station...
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02/23/2023
Testing Serial Independence of Object-Valued Time Series
We propose a novel method for testing serial independence of object-valu...
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08/29/2022
A Consistent ICM-based χ^2 Specification Test
In spite of the omnibus property of Integrated Conditional Moment (ICM) ...
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06/06/2022
Robust Inference for Change Points in High Dimension
This paper proposes a new test for a change point in the mean of high-di...
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12/10/2021
Segmenting Time Series via Self-Normalization
We propose a novel and unified framework for change-point estimation in ...
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07/09/2020
Time Series Analysis of COVID-19 Infection Curve: A Change-Point Perspective
In this paper, we model the trajectory of the cumulative confirmed cases...
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07/09/2019
Adaptive inference for a semiparametric GARCH model
This paper considers a semiparametric generalized autoregressive conditi...
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05/06/2019
Non-standard inference for augmented double autoregressive models with null volatility coefficients
This paper considers an augmented double autoregressive (DAR) model, whi...
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03/26/2019