Research

Research Interests

time series

change-point analysis

functional data

high-dimensional statistics

change-point analysis

functional data

high-dimensional statistics

Publications and Preprints

Bootstrapping spectral statistics in high dimensions.

Preprint (with M. Lopes and Andrew Blandino).

Testing for stationarity of functional time series in the frequency domain.

Preprint (with A. van Delft). [Preprint] [Supp]

Estimating functional time series by moving average process fitting.

Preprint (with J. Klepsch).

An adaptable generalization of Hotelling's $T^2$ in high dimensions.

Preprint (with H. Li, D. Paul, J. Peng and P. Wang).

Estimation of prediction error in time series.

Preprint (with P. Burman).

Detecting and dating structural breaks in functional data without dimension reduction.

*Journal of the Royal Statistical Society, Series B*, to appear (with G. Rice and O. Sönmez).
[Preprint]
[Supp]

Consistent estimation for partition-wise regression and classification models.

*IEEE Transactions on Signal Processing* **65** (2017), 3662-3674
(with R.C.Y. Cheung and T.C.M. Lee).

Spectral analysis of sample autocovariance matrices for a class of linear time series in moderately high dimensions.

*Bernoulli* **23** (2017), 2181-2209.
(with L. Wang and D. Paul).

Functional generalized autoregressive conditional heteroskedasticity.

*Journal of Time Series Analysis* **38** (2017), 3-21
(with L. Horváth and D. Pellatt).

Piecewise quantile autoregressive modeling for non-stationary time series.

*Bernoulli* **23** (2017), 1-22
(with R. Cheung, T.C.M. Lee and M. Zhong). [Preprint]

Exploratory analysis and modeling of stock return data.

*Journal of Computational and Graphical Statistics** ***25** (2016), 363-381.
(with K. Noguchi and P. Burman).

On the prediction of stationary functional time series.

*Journal of the American Statistical Association* **110** (2015), 378-392.
(with D. Dubart Norinho and S. Hörmann).

Reaction times of monitoring schemes for ARMA time series.

*Bernoulli* **21** (2015), 1238-1259.
(with C. Dienes, S. Fremdt and J. Steinebach).

The Marcenko-Pastur law for linear time series.

*The Annals of Statistics** ***43** (2015), 675-712
(with H. Liu and D. Paul).

Automatic estimation of flux distributions of astrophysical source populations.

*The Annals of Applied Statistics* **8** (2014), 1690-1712
(with R.K.W. Wong, P. Baines, T.C.M. Lee and V.L. Kashyap).

Segmented model selection in quantile regression using the minimum description length principle.

*Journal of the American Statistical Association* **109** (2014), 1241-1256.
(with R. Cheung, T.C.M. Lee and M. Zhong).

Dependent functional linear models with applications to monitoring structural change.

*Statistica Sinica* **24** (2014), 1043-1073
(with S. Hörmann, S., L. Horváth and M. Hušková).

Limit laws in transaction-level asset price models.

*Econometric Theory* **30** (2014), 536-579
(with L. Horváth, C. Hurvich and P. Soulier).

Random matrix theory in statistics: a review.

*Journal of Statistical Planning and Inference* **150** (2014), 1-29
(with D. Paul).

On-line monitoring of pollution concentrations with autoregressive moving average times series.

*Journal of Time Series Analysis* **35** (2014), 239-261
(with C. Dienes).

Structural breaks in time series.

*Journal of Time Series Analysis* **34** (2013), 1-16
(with L. Horváth).

Sequential testing for the stability of high frequency portfolio betas.

*Econometric Theory* **28** (2012), 804-837
(with S. Hörmann, L. Horváth, M. Hušková and J. Steinebach).

Segmenting mean-nonstationary time series via trending regressions.

*Journal of Econometrics* **168** (2012), 367-381
(with L. Horváth and M. Hušková).

On the reaction time of moving sum detectors.

*Journal of Statistical Planning and Inference* **142** (2012), 2271-2288
(with L. Horváth, M. Kühn and J. Steinebach).

Local bandwidth selection via second derivative segmentation.

*Electronic Journal of Statistics*, **6** (2012), 478-500
(with T.C.M. Lee and H. Wang).

On image segmentation using information theoretic criteria.

*The Annals of Statistics* **39** (2011), 2912-2935 (with T.C.M. Lee).

Fast scatterplot smoothing using blockwise least squares fitting.

In*Nonparametric Statisical Methods and Related Topics (P.K. Bhattacharya Festschrift).*

(Eds. Jiang, Roussas, Samaniego). World Scientific, Singapore (2011), pp. 299-314 (with T.C.M. Lee).

Mean shift testing in correlated data.

*Journal of Time Series Analysis* **32** (2011), 498-511 (with M. Robbins, C. Gallagher and R. Lund).

Quasi-likelihood estimation in stationary and nonstationary autoregressive models with random coefficients.

*Statistica Sinica* **21** (2011), 973-999 (with L. Horváth).

Statistically consistent image segmentation.

*Proceedings of the 2010 IEEE 17th International Conference on Image Processing* (2010), 2229-2232 (with T.C.M. Lee).

Break detection in the covariance structure of multivariate time series models.

*The Annals of Statistics* **37** (2009), 4046-4087 (with S. Hörmann, L. Horváth and M. Reimherr).

Estimation of a change-point in the mean function of functional data.

*Journal of Multivariate Analysis* **100** (2009), 2254-2269 (with R. Gabrys, L. Horváth and P. Kokoszka).

Delay times of sequential procedures for multiple time series regression models.

*Journal of Econometrics* **149** (2009), 174-190 (with L. Horváth and M.L. Reimherr).

On distinguishing between random walk and change in the mean alternatives.

*Econometric Theory* **25** (2009), 411-441 (with L. Horváth, M. Hušková and S. Ling).

Extreme value theory for stochastic integrals of Legendre polynomials.

*Journal of Multivariate Analysis* **100** (2009), 1029-1043 (with L. Horváth and M. Hušková).

Monitoring shifts in mean: Asymptotic normality of stopping times.

*Test* **17** (2008), 515-530 (with L. Horváth, P. Kokoszka and J. Steinebach).

Near-integrated random coefficient autoregressive time series.

*Econometric Theory* **24** (2008), 1343-1372.

Testing for changes in polynomial regression.

*Bernoulli* **14** (2008), 637-660 (with L. Horváth, M. Hušková and P. Kokoszka).

Extreme value distribution of a recursive-type detector in a linear model.

*Extremes* **11** (2008), 135-166 (with M. Kühn).

Selection from a stable box.

*Bernoulli* **14** (2008), 125-139 (with I. Berkes and L. Horváth).

A note on the existence of solutions to a stochastic recurrence equation.

*Acta Scientiarum Mathematicarum* **73** (2007), 831-843 (with I. Berkes and L. Horváth).

Rescaled range analysis in the presence of stochastic trend.

*Statistics & Probability Letters* **77** (2007), 1165-1175 (with L. Horváth and J. Steinebach).

A limit theorem for mildly explosive autoregression with stable errors.

*Econometric Theory* **23** (2007), 201-220 (with L. Horváth).

Discriminating between level shifts and random walks: A delay time approach.

In:*Conference Proceedings, Prague Stochastics 2006*, 73-80
(with L. Horváth and Zs. Horváth).

Change-point monitoring in linear models.

*Econometrics Journal* **9** (2006), 373-403 (with L. Horváth, M. Hušková and P. Kokoszka).

Strong approximation for the sums of squares of augmented GARCH sequences.

*Bernoulli* **12** (2006), 583-608 (with I. Berkes and L. Horváth).

Testing for parameter stability in RCA(1) time series.

*Journal of Statistical Planning and Inference* **136** (2006), 3070-3089.

Estimation in random coefficient autoregressive models.

*Journal of Time Series Analysis* **27** (2006), 61-76 (with L. Horváth and J. Steinebach).

Statistical terminology.

In:*Encyclopedia of Actuarial Science, Vol. 3*,
Wiley, Chichester (2004), 1593-1596.

Strong approximation for RCA(1) time series with applications.

*Statistics & Probability Letters* **68** (2004), 369-382.

Delay time in sequential detection of change.

*Statistics & Probability Letters* **67** (2004), 221-231 (with L. Horváth).

Approximations for the maximum of a vector-valued stochastic process with drift.

*Periodica Mathematica Hungarica* **47** (2003), 1-15 (with L. Horváth).

A note on estimating the change-point of a gradually changing stochastic process.

*Statistics & Probability Letters* **56** (2002), 177-191 (with J. Steinebach).

Preprint (with M. Lopes and Andrew Blandino).

Testing for stationarity of functional time series in the frequency domain.

Preprint (with A. van Delft). [Preprint] [Supp]

Estimating functional time series by moving average process fitting.

Preprint (with J. Klepsch).

An adaptable generalization of Hotelling's $T^2$ in high dimensions.

Preprint (with H. Li, D. Paul, J. Peng and P. Wang).

Estimation of prediction error in time series.

Preprint (with P. Burman).

Detecting and dating structural breaks in functional data without dimension reduction.

Consistent estimation for partition-wise regression and classification models.

Spectral analysis of sample autocovariance matrices for a class of linear time series in moderately high dimensions.

Functional generalized autoregressive conditional heteroskedasticity.

Piecewise quantile autoregressive modeling for non-stationary time series.

Exploratory analysis and modeling of stock return data.

On the prediction of stationary functional time series.

Reaction times of monitoring schemes for ARMA time series.

The Marcenko-Pastur law for linear time series.

Automatic estimation of flux distributions of astrophysical source populations.

Segmented model selection in quantile regression using the minimum description length principle.

Dependent functional linear models with applications to monitoring structural change.

Limit laws in transaction-level asset price models.

Random matrix theory in statistics: a review.

On-line monitoring of pollution concentrations with autoregressive moving average times series.

Structural breaks in time series.

Sequential testing for the stability of high frequency portfolio betas.

Segmenting mean-nonstationary time series via trending regressions.

On the reaction time of moving sum detectors.

Local bandwidth selection via second derivative segmentation.

On image segmentation using information theoretic criteria.

Fast scatterplot smoothing using blockwise least squares fitting.

In

(Eds. Jiang, Roussas, Samaniego). World Scientific, Singapore (2011), pp. 299-314 (with T.C.M. Lee).

Mean shift testing in correlated data.

Quasi-likelihood estimation in stationary and nonstationary autoregressive models with random coefficients.

Statistically consistent image segmentation.

Break detection in the covariance structure of multivariate time series models.

Estimation of a change-point in the mean function of functional data.

Delay times of sequential procedures for multiple time series regression models.

On distinguishing between random walk and change in the mean alternatives.

Extreme value theory for stochastic integrals of Legendre polynomials.

Monitoring shifts in mean: Asymptotic normality of stopping times.

Near-integrated random coefficient autoregressive time series.

Testing for changes in polynomial regression.

Extreme value distribution of a recursive-type detector in a linear model.

Selection from a stable box.

A note on the existence of solutions to a stochastic recurrence equation.

Rescaled range analysis in the presence of stochastic trend.

A limit theorem for mildly explosive autoregression with stable errors.

Discriminating between level shifts and random walks: A delay time approach.

In:

Change-point monitoring in linear models.

Strong approximation for the sums of squares of augmented GARCH sequences.

Testing for parameter stability in RCA(1) time series.

Estimation in random coefficient autoregressive models.

Statistical terminology.

In:

Strong approximation for RCA(1) time series with applications.

Delay time in sequential detection of change.

Approximations for the maximum of a vector-valued stochastic process with drift.

A note on estimating the change-point of a gradually changing stochastic process.