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Ngai H. Chan - Publications

Affiliations: 
The Chinese University of Hong Kong, Hong Kong, Hong Kong 
Area:
Statistics
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68 high-probability publications. We are testing a new system for linking publications to authors. You can help! If you notice any inaccuracies, please sign in and mark papers as correct or incorrect matches. If you identify any major omissions or other inaccuracies in the publication list, please let us know.

Year Citation  Score
2020 Chan NH, Cheung SKC, Wong SPS. Inference for the degree distributions of preferential attachment networks with zero-degree nodes Journal of Econometrics. 216: 220-234. DOI: 10.1016/J.Jeconom.2020.01.015  0.301
2020 Chen K, Chan NH, Yau CY. Bartlett correction of frequency domain empirical likelihood for time series with unknown innovation variance Annals of the Institute of Statistical Mathematics. 72: 1159-1173. DOI: 10.1007/S10463-019-00723-5  0.394
2019 Chan NH, Palma W. On the Estimation of Locally Stationary Long-Memory Processes Statistica Sinica. DOI: 10.5705/Ss.202017.0472  0.348
2019 Chen K, Huang R, Chan NH, Yau CY. Subgroup analysis of zero-inflated Poisson regression model with applications to insurance data Insurance Mathematics & Economics. 86: 8-18. DOI: 10.1016/J.Insmatheco.2019.01.009  0.354
2019 Cheng J, Chan NH. Efficient inference for nonlinear state space models: An automatic sample size selection rule Computational Statistics & Data Analysis. 138: 143-154. DOI: 10.1016/J.Csda.2019.03.010  0.394
2019 Chen K, Chan NH, Wang M, Yau CY. On Bartlett correction of empirical likelihood for regularly spaced spatial data Canadian Journal of Statistics-Revue Canadienne De Statistique. 47: 455-472. DOI: 10.1002/Cjs.11508  0.492
2018 Oh H, Lee S, Chan NH. Mildly explosive autoregression with mixing innovations Journal of the Korean Statistical Society. 47: 41-53. DOI: 10.1016/J.Jkss.2017.09.001  0.423
2018 Zhang R, Chan NH. Portmanteau-type tests for unit-root and cointegration Journal of Econometrics. 207: 307-324. DOI: 10.1016/J.Jeconom.2018.08.004  0.4
2017 Chan NH, Lu Y, Yau CY. Factor Modelling for High‐Dimensional Time Series: Inference and Model Selection Journal of Time Series Analysis. 38: 285-307. DOI: 10.1111/Jtsa.12207  0.407
2017 Chan NH, Ing C, Li Y, Yau CY. Threshold Estimation via Group Orthogonal Greedy Algorithm Journal of Business & Economic Statistics. 35: 334-345. DOI: 10.1080/07350015.2015.1064820  0.415
2017 Tian M, Chan NH. Adaptive quantile regression with precise risk bounds Science China-Mathematics. 60: 875-896. DOI: 10.1007/S11425-015-0199-7  0.333
2017 An Y, Chan NH. Short‐Term Stock Price Prediction Based on Limit Order Book Dynamics Journal of Forecasting. 36: 541-556. DOI: 10.1002/For.2452  0.391
2017 Chan NH, Liu WW. Modeling and Forecasting Online Auction Prices: A Semiparametric Regression Analysis Journal of Forecasting. 36: 156-164. DOI: 10.1002/For.2420  0.381
2016 Wang M, Chan NH, Yau CY. Nonlinear error correction model and multiple-threshold cointegration Statistica Sinica. DOI: 10.5705/Ss.2014.219T  0.415
2016 Liu Y, Chan NH, Ng CT, Wong SPS. Shrinkage Estimation Of Mean-Variance Portfolio International Journal of Theoretical and Applied Finance. 19: 1-25. DOI: 10.1142/S0219024916500035  0.348
2016 Chen K, Chan NH, Yau CY. Bartlett Correction of Empirical Likelihood for Non-Gaussian Short-Memory Time Series Journal of Time Series Analysis. 37: 624-649. DOI: 10.1111/Jtsa.12175  0.426
2016 Chan NH, Sit T. Artifactual unit root behavior of Value at risk (VaR) Statistics & Probability Letters. 116: 88-93. DOI: 10.1016/J.Spl.2016.04.006  0.321
2015 Ng CT, Yau CY, Chan NH. Likelihood Inferences for High-Dimensional Factor Analysis of Time Series With Applications in Finance Journal of Computational and Graphical Statistics. 24: 866-884. DOI: 10.1080/10618600.2014.937951  0.368
2015 Chan NH, Yau CY, Zhang R. LASSO estimation of threshold autoregressive models Journal of Econometrics. 189: 285-296. DOI: 10.1016/J.Jeconom.2015.03.023  0.431
2015 Wang B, Wang M, Chan NH. Residual-based test for fractional cointegration Economics Letters. 126: 43-46. DOI: 10.1016/J.Econlet.2014.11.009  0.483
2014 Chan NH, Chen K, Yau CY. On the Bartlett correction of empirical likelihood for Gaussian long-memory time series Electronic Journal of Statistics. 8: 1460-1490. DOI: 10.1214/14-Ejs930  0.34
2014 Chan NH, Yau CY, Zhang R. Group LASSO for Structural Break Time Series Journal of the American Statistical Association. 109: 590-599. DOI: 10.1080/01621459.2013.866566  0.346
2014 Chan NH, Li ZR, Yau CY. Forecasting Online Auctions via Self-Exciting Point Processes Journal of Forecasting. 33: 501-514. DOI: 10.1002/For.2313  0.387
2013 Chan NH, Huang S, Ing C. Moment bounds and mean squared prediction errors of long-memory time series Annals of Statistics. 41: 1268-1298. DOI: 10.1214/13-Aos1110  0.433
2013 Li D, Chan NH, Peng L. EMPIRICAL LIKELIHOOD TEST FOR CAUSALITY OF BIVARIATE AR(1) PROCESSES Econometric Theory. 30: 357-371. DOI: 10.1017/S0266466613000339  0.391
2013 Chan NH, Li D, Peng L, Zhang R. TAIL INDEX OF AN AR(1) MODEL WITH ARCH(1) ERRORS Econometric Theory. 29: 920-940. DOI: 10.1017/S0266466612000801  0.438
2013 Buchmann B, Chan NH. Unified asymptotic theory for nearly unstable AR(p) processes Stochastic Processes and Their Applications. 123: 952-985. DOI: 10.1016/J.Spa.2012.09.014  0.366
2013 Chan NH, Zhang R. Limit theory of quadratic forms of long-memory linear processes with heavy-tailed GARCH innovations Journal of Multivariate Analysis. 120: 18-33. DOI: 10.1016/J.Jmva.2013.04.007  0.325
2012 Chan NH, Liu WW. Least squares estimators for nearly unstable processes for functionals of long-memory noises Reproduction in Domestic Animals. 3: 239-246. DOI: 10.3233/Rda-2012-0066  0.42
2012 Chan NH, Zhang R. Non‐Stationary Autoregressive Processes with Infinite Variance Journal of Time Series Analysis. 33: 916-934. DOI: 10.1111/J.1467-9892.2012.00807.X  0.384
2012 Zhang R, Chan NH. Maximum Likelihood Estimation for Nearly Non‐Stationary Stable Autoregressive Processes Journal of Time Series Analysis. 33: 542-553. DOI: 10.1111/J.1467-9892.2011.00762.X  0.414
2012 Chan NH, Wong HY, Zhao J. Structural model of credit migration Computational Statistics & Data Analysis. 56: 3477-3490. DOI: 10.1016/J.Csda.2010.10.015  0.328
2012 Chan NH, Kutoyants YA. On parameter estimation of threshold autoregressive models Statistical Inference For Stochastic Processes. 15: 81-104. DOI: 10.1007/S11203-011-9064-0  0.439
2012 Chan NH, Yam SCP. Higher-order asymptotics in finance Wiley Interdisciplinary Reviews: Computational Statistics. 4: 571-587. DOI: 10.1002/Wics.1234  0.332
2011 Chan NH, Ng CT. A note on asymptotic inference for FIGARCH($p, d, q$) models Statistics and Its Interface. 4: 227-233. DOI: 10.4310/Sii.2011.V4.N2.A16  0.412
2011 Chan NH, Ing C. Uniform moment bounds of Fisher’s information with applications to time series Annals of Statistics. 39: 1526-1550. DOI: 10.1214/10-Aos861  0.435
2011 Chan NH, Li D, Peng L. TOWARD A UNIFIED INTERVAL ESTIMATION OF AUTOREGRESSIONS Econometric Theory. 28: 705-717. DOI: 10.1017/S0266466611000727  0.442
2011 Chan NH, Peng L, Zhang D. Empirical-Likelihood-Based Confidence Intervals For Conditional Variance In Heteroskedastic Regression Models Econometric Theory. 27: 154-177. DOI: 10.1017/S0266466610000150  0.418
2011 Chan NH, Zhang R. Quantile inference for heteroscedastic regression models Journal of Statistical Planning and Inference. 141: 2079-2090. DOI: 10.1016/J.Jspi.2010.12.018  0.422
2011 Chan NH, Peng L, Zhang R. Interval estimation of the tail index of a GARCH(1,1) model Test. 21: 546-565. DOI: 10.1007/S11749-011-0264-0  0.421
2010 Chan NH, Liu L. Bartlett Correctability of Empirical Likelihood for Time Series Journal of the Japan Statistical Society. Japanese Issue. 40: 221-238. DOI: 10.14490/Jjss.40.221  0.395
2010 Chan NH, Ling S. Correction: Residual empirical processes for long and short memory time series Annals of Statistics. 38: 3839-3839. DOI: 10.1214/10-Aos818  0.354
2010 Chan NH, Liu WW. Residual empirical processes for nearly unstable long-memory time series Journal of the Korean Statistical Society. 39: 337-345. DOI: 10.1016/J.Jkss.2010.03.001  0.429
2009 Chan NH, Chen SX, Peng L, Yu CL. Empirical Likelihood Methods Based on Characteristic Functions With Applications to Lévy Processes Journal of the American Statistical Association. 104: 1621-1630. DOI: 10.1198/Jasa.2009.Tm08349  0.427
2009 Chan NH, Zhang R. Quantile inference for near-integrated autoregressive time series under infinite variance and strong dependence Stochastic Processes and Their Applications. 119: 4124-4148. DOI: 10.1016/J.Spa.2009.09.010  0.431
2009 Chan NH, Zhang R. M-estimation in nonparametric regression under strong dependence and infinite variance Annals of the Institute of Statistical Mathematics. 61: 391-411. DOI: 10.1007/S10463-007-0142-4  0.43
2008 Chan NH, Ling S. Residual Empirical Processes for Long and Short Memory Time Series Annals of Statistics. 36: 2453-2470. DOI: 10.1214/07-Aos543  0.424
2007 Buchmann B, Chan NH. Asymptotic theory of least squares estimators for nearly unstable processes under strong dependence Annals of Statistics. 35: 2001-2017. DOI: 10.1214/009053607000000136  0.419
2006 Chan NH, Ling S. Empirical Likelihood For Garch Models Econometric Theory. 22: 403-428. DOI: 10.1017/S0266466606060208  0.429
2006 Brockwell AE, Chan NH. Long-memory dynamic tobit models Journal of Forecasting. 25: 351-367. DOI: 10.1002/For.992  0.425
2005 Chan NH, Peng L. Weighted least absolute deviations estimation for an AR(1) process with ARCH(1) errors Biometrika. 92: 477-484. DOI: 10.1093/Biomet/92.2.477  0.352
2001 Chan NH, Genovese CR. A comparison of linear and nonlinear statistical techniques in performance attribution. Ieee Transactions On Neural Networks / a Publication of the Ieee Neural Networks Council. 12: 922-8. PMID 18249922 DOI: 10.1109/72.935100  0.324
2001 Basak GK, Chan NH, Palma W. The Approximation of Long-Memory Processes by an ARMA Model Journal of Forecasting. 20: 367-389. DOI: 10.1002/For.799  0.373
2000 Chan NH, Petris G. Long memory stochastic volatility : A bayesian approach Communications in Statistics-Theory and Methods. 29: 1367-1378. DOI: 10.1080/03610920008832549  0.383
1998 Chan NH, Palma W. State space modeling of long-memory processes Annals of Statistics. 26: 719-740. DOI: 10.1214/Aos/1028144856  0.401
1997 Palma W, Chan NH. Estimation and forecasting of long-memory processes with missing values Journal of Forecasting. 16: 395-410. DOI: 10.1002/(Sici)1099-131X(199711)16:6<395::Aid-For660>3.0.Co;2-P  0.423
1996 Chan NH, Tsay RS. Asymptotic inference for non-invertible moving-average time series Journal of Time Series Analysis. 17: 1-17. DOI: 10.1111/J.1467-9892.1996.Tb00261.X  0.447
1996 Kadane JB, Chan NH, Wolfson LJ. Priors for unit root models Journal of Econometrics. 75: 99-111. DOI: 10.1016/0304-4076(95)01771-2  0.315
1995 Chan NH, Terrin N. Inference for Unstable Long-Memory Processes with Applications to Fractional Unit Root Autoregressions Annals of Statistics. 23: 1662-1683. DOI: 10.1214/Aos/1176324318  0.37
1993 Chan NH. On the Noninvertible Moving Average Time Series with Infinite Variance Econometric Theory. 9: 680-685. DOI: 10.1017/S0266466600008057  0.46
1992 Chan NH, Tran LT. NONPARAMETRIC TESTS FOR SERIAL DEPENDENCE Journal of Time Series Analysis. 13: 19-28. DOI: 10.1111/J.1467-9892.1992.Tb00092.X  0.339
1990 Chan NH. Inference for Near-Integrated Time Series with Infinite Variance Journal of the American Statistical Association. 85: 1069-1074. DOI: 10.1080/01621459.1990.10474977  0.408
1989 Chan NH. On the nearly nonstationary seasonal time series Canadian Journal of Statistics-Revue Canadienne De Statistique. 17: 279-284. DOI: 10.2307/3315523  0.332
1989 Cressie N, Chan NH. Spatial modeling of regional variables Journal of the American Statistical Association. 84: 393-401. DOI: 10.1080/01621459.1989.10478783  0.326
1989 Chan NH, Tran LT. On the first-order autoregressive process with infinite variance Econometric Theory. 5: 354-362. DOI: 10.1017/S0266466600012561  0.361
1989 Chan NH. Asymptotic inference for unstable auto- regressive time series with drifts Journal of Statistical Planning and Inference. 23: 301-312. DOI: 10.1016/0378-3758(89)90074-8  0.394
1988 Chan NH, Wei CZ. Limiting Distributions of Least Squares Estimates of Unstable Autoregressive Processes Annals of Statistics. 16: 367-401. DOI: 10.1214/Aos/1176350711  0.376
1988 Chan NH. The Parameter Inference for Nearly Nonstationary Time Series Journal of the American Statistical Association. 83: 857-862. DOI: 10.1080/01621459.1988.10478674  0.421
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