Di Wang

Tenure-track Associate Professor

School of Mathematical Sciences

Shanghai Jiao Tong University

Email: di dot wang at sjtu dot edu dot cn

Welcome to my homepage!

I am currently a tenure-track associate professor at the School of Mathematical Sciences, Shanghai Jiao Tong University.

Prior to that, I was a postdoctoral principal researcher, advised by Prof. Ruey S. Tsay, at Booth School of Business, University of Chicago. I obtained my Ph.D. in Statistics advised by Prof. Guodong Li and Prof. Wai-Keung Li, at the Department of Statistics and Actuarial Science, University of Hong Kong.

Research Interest

  • High dimensional statistics; time series analysis; tensor data analysis

  • Robust statistics; quantile regression

  • Theoretical machine learning; deep learning


  • 2020. Ph.D. in Statistics, University of Hong Kong

  • 2016. B.Sc. in Actuarial Science, University of Hong Kong

Publication and Working Paper

Statistical Methodology and Machine Learning:

  1. High-dimensional vector autoregression with common response and predictor factors (with Xiaoyu Zhang, Guodong Li, and Ruey S. Tsay). Submitted. 2022. [arXiv]

  2. Rate-optimal robust estimation of high-dimensional vector autoregressive models (with Ruey S. Tsay). Submitted. 2021. [arXiv]

  3. High-dimensional low-rank tensor autoregressive time series modeling (with Yao Zheng and Guodong Li). Submitted. 2020. [arXiv]

  4. Nonparametric quantile regression for homogeneity pursuit in panel data models (with Xiaoyu Zhang, Heng Lian, and Guodong Li). Journal of Business and Economic Statistics. In press. [arXiv]

  5. High-dimensional vector autoregressive time series modeling via tensor decomposition (with Yao Zheng, Heng Lian, and Guodong Li). Journal of the American Statistical Association, In press. [arXiv]

  6. Compact autoregressive network (with Feiqing Huang, Jingyu Zhao, Guodong Li, and Guangjian Tian). Proceedings of the 34th AAAI Conference on Artificial Intelligence (AAAI-20), 6145-6152. (2020). [Paper] [Extended Version]

  7. Unit root testing on buffered autoregressive model (with Wai-Keung Li). Statistica Sinica. 30, 977-1003. (2020). [Paper] [Supp]

Interdisciplinary Research:

  1. Dinucleotide evolutionary dynamics in influenza A virus (with Haogao Gu, Rebecca Fan, and Leo Poon). Virus Evolution. 5, vez038. (2019). [Paper]


  • Statistical Inference for High-Dimensional Data, Fall 2022