Publications

On the Degrees of Freedom in MCMC-Based Wishart Models for Time Series Data,

Statistics & Probability Letters, Vol 98, 2015, pp 59-64. With Y. Xiao, P. Bloomfield, and S. K. Ghosh.

doi: 10.1016/j.spl.2014.12.012

Research code written in OX [here] 


Generating Random Wishart Matrices with Fractional Degrees of Freedom in OX,

Oxmetrics User Conference, 2010. With P. Bloomfield.

The OX code for generating random Wishart matrices is [here]

Cited in: 

Monte Carlo theory, methods and examples, Art Owen (2009). Chapter 5. 

http://statweb.stanford.edu/~owen/mc/


Implemented or referenced in various mainstream computing languages/libraries: 

Octave Statistics Package 

https://gnu-octave.github.io/statistics/wishrnd.html (Wishart)

https://gnu-octave.github.io/statistics/iwishrnd.html (Inverse Wishart)


Armadillo, C++ library for linear algebra & scientific computing  (by Conrad Sanderson, NICTA, 2016)

https://fossies.org/linux/armadillo/include/armadillo_bits/op_wishrnd_meat.hpp


PyTorch, torch.distributions

https://github.com/pytorch/pytorch/blob/master/torch/distributions/wishart.py

https://pytorch.org/docs/stable/distributions.html#wishart


Measuring Respondent Uncertainty in Discrete Choice Experiments via Utility Suppression,

Journal of Choice Modelling, Volume 27, 2018, pp 1–18 (lead article). With J. Wu.

doi: 10.1016/j.jocm.2017.08.002


Is what you choose what you want? — outlier detection in choice-based conjoint analysis,

Marketing Letters, Volume 28, Issue 1, 2017, pp 29–42. With T.-F. Chiang and S.-M. Chang. 

doi: 10.1007/s11002-015-9389-3

R research code [here]


Dynamic Correlation Multivariate Stochastic Volatility with Latent Factors,

Statistica Neerlandica, Volume 72, Issue 1, 2017, pp 48-69. With S.-J.Wu, S. K. Ghosh, and P. Bloomfield.

Partially supported by the National Science Foundation under Grant DMS‐1127914.

doi: 10.1111/stan.12115


A flexible observed factor model with separate dynamics for the factor volatilities and their correlation matrix, 

Statistical Modelling, Vol. 14-1, 2014, pp1-20 (lead article). With P. Bloomfield, and S. K. Ghosh.

doi: 10.1177/1471082X13490016

 

數以載情 — 古文詩詞意境的一些數學描繪

數學傳播，第44卷第1期 (173), 2020.


Journal Referee Service

Journal of Econometrics

Bayesian Statistics

Health Economics

Journal of Applied Statistics

Statistica Neerlandica


Invited Talks

Shanghai Center for Mathematical Sciences, Fudan University, Shanghai, China, November, 2014.

School of Mathematical Sciences, Soochow University, Suzhou, China. November, 2014.