Chun Yip Yau

The Chinese University of Hong Kong (CUHK) - Department of Statistics

Shatin, N.T.

Hong Kong

SCHOLARLY PAPERS

4

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1

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Scholarly Papers (4)

1.

Likelihood Inference for Discriminating between Long‐Memory and Change‐Point Models

Journal of Time Series Analysis, Vol. 33, Issue 4, pp. 649-664, 2012
Number of pages: 16 Posted: 15 Jun 2012
Chun Yip Yau and Richard A. Davis
The Chinese University of Hong Kong (CUHK) - Department of Statistics and Columbia University
Downloads 1 (522,131)

Abstract:

Hypothesis testing, change‐point, structural break, long‐memory time series, ARFIMA model, likelihood ratio test, Whittle likelihood

2.

Factor Modelling for High‐Dimensional Time Series: Inference and Model Selection

Journal of Time Series Analysis, Vol. 38, Issue 2, pp. 285-307, 2017
Number of pages: 23 Posted: 08 Feb 2017
Ngai Hang Chan, Ye Lu and Chun Yip Yau
The Chinese University of Hong Kong, City University of Hong Kong (CityUHK) - Faculty of Business and The Chinese University of Hong Kong (CUHK) - Department of Statistics
Downloads 0 (532,107)

Abstract:

High‐dimensional time series, factor analysis, asymptotics, information criterion, out‐of‐sample prediction

3.

Bartlett Correction of Empirical Likelihood for Non‐Gaussian Short‐Memory Time Series

Journal of Time Series Analysis, Vol. 37, Issue 5, pp. 624-649, 2016
Number of pages: 26 Posted: 27 Jul 2016
Kun Chen, Ngai Hang Chan and Chun Yip Yau
Southwestern University of Finance and Economics (SWUFE) - Statistical School and Center of Statistical Research, The Chinese University of Hong Kong and The Chinese University of Hong Kong (CUHK) - Department of Statistics
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Abstract:

Coverage error, Edgeworth expansion, higher‐order cumulants, periodogram, Whittle likelihood

4.

Empirical Likelihood in Long‐Memory Time Series Models

Journal of Time Series Analysis, Vol. 33, Issue 2, pp. 269-275, 2012
Number of pages: 7 Posted: 07 Mar 2012
Chun Yip Yau
The Chinese University of Hong Kong (CUHK) - Department of Statistics
Downloads 0 (532,107)

Abstract:

ARFIMA models, empirical likelihood, Whittle likelihood, Bartlett correction