Papers
Bayesian vector heterogeneous autoregressive modeling, with Young Geun Kim, Journal of Statistical Computation and Simulation, 94:6, 1139-1157, DOI: 10.1080/00949655.2023.2281644, 2024.
Thresholding and graphical local Whittle estimation, with Marie-Christine Düker, Vladas Pipiras, Annals of Statistics, Vol. 51, No. 6, 2386-2414, DOI: 10.1214/23-AOS2330, 2023.
Test of change point versus long-range dependence in functional time series, with Kokoszka, Piotr and Meng, Xiangdong, Journal of Time Series Analysis, 54(4), 497-512, 2024. DOI: 10.1111/jtsa.12723.
Detection of multiple change-points in high-dimensional panel data with cross-sectional and temporal dependence, with Marie-Christine Düker, Seok-Oh Jeong, Taewook Lee, Statistical Papers, 10.1007/s00362-023-01484-3, 2023.
Detecting Changes in Correlation Networks with Application to Functional Connectivity of fMRI Data, with Benjamin Leinwand, Kristen A. Lindquist, Seok-Oh Jeong, Joseph Hopfinger, Katheleen M. Gates and Vladas Pipiras, Psychometrika, Vol 88, 636–655, DOI:10.1007/s11336-023-09908-7, 2023.
Volatility changes in cryptocurrencies: evidence from sparse VHAR-MGARCH model, with Seungwon Lee, Applied Economics Letters, DOI: 10.1080/13504851.2022.2064417, 2022.
Robust test for structural instability in dynamic factor models, with Byungsoo Kim, Junmo Song, Annals of the Institute of Statistical Mathematics, Vol 73, 821--853, https://doi.org/10.1007/s10463-020-00773-0, 2021.
Two sample tests for high-dimensional autocovariances, with Katheleen M. Gates, Benjamin Leinwand and Vladas Pipiras, Computational Statistics and Data Analysis, 153, 2021.
Sparse vector heterogeneous autoregressive modeling for realized volatility, with Minsu Park, Journal of the Korean Statistical Society, 2020.
Block wild bootstrap-based CUSUM tests robust to high persistence and misspecification, with Taewook Lee, Computational Statistics and Data Analysis, 150, 2020.
Asymptotics of bivariate local Whittle estimators with applications to fractal connectivity, with Stefanos Kechagias and Vladas Pipiras, Journal of Statistical Planning and Inference, 205, 245-268, 2020.
Factor-augmented HAR model improves realized volatility forecasting, with Dongwoo Kim, Applied Economics Letters, DOI:10.1080/13504851.2019.1657554, 2019.
Detecting structural breaks in realized volatility, with Junmo Song, Computational Statistics and Data Analysis, 134, 58–75, 2019.
Periodic dynamic factor models: estimation approaches and applications, with Richard A. Davis and Vladas Pipiras, Electronic Journal of Statistics, 12, 4377-4411, 2018.
Semiparametric, parametric and possibly sparse models for multivariate long-range dependence, Proc. SPIE 10394, Wavelets and Sparsity XVII, 103941S (24 August 2017).
ARMA Cholesky Factor Models for Linear Models, with Keunbaik Lee and Michael J. Daniels, Computational Statistics and Data Analysis, 115, 267-280, 2017.
Sparse seasonal and periodic vector autoregressive modeling, with Richard A. Davis and Vladas Pipiras, Computational Statistics and Data Analysis, 106, 103-126, 2017.
A piecewise polynomial trend against long range dependence, Journal of Korean Statistical Society, 44, 457-468, 2015.
Tests for volatility shifts in GARCH against long-range dependence, with Taewook Lee and Moosup Kim, Journal of Time Series Analysis, 36, 127-153, 2015.
On distinguishing multiple changes in mean and long-range dependence using local Whittle estimation, with Vladas Pipiras, (R Software), Electronic Journal of Statistics, 8, 931-964, 2014.
On integral representations of operator fractional Brownian fields, with Gustavo Didier and Vladas Pipiras, Statistics and Probability Letters, 92, 190-198, 2014.
Can Markov switching model generate long memory?, with Natercia Fortuna and Vladas Pipiras, Economic Letters, 124, 117-121, 2014. (Technical Note)
Quasi-maximum likelihood estimation for multiple volatility shifts, with Moosup Kim, Taewook Lee and Jungshik Noh, Statistics and Probability Letters, 86, 50-60, 2014.
Statistical tests for a single change in mean against long range dependence, with Vladas Pipiras, Journal of Time Series Analysis, 33(1), 131-151, 2012.
Estimation of parameters in heavy-tailed distribution when its second order tail exponent is known, with Vladas Pipiras, Journal of Statistical Planning and Inference, 140(7), 1957-1967, 2010.
Second order properties of distribution tails and estimation of tail exponents in random difference equations, with Vladas Pipiras, Herwig Wendt and Patrice Abry, Extremes 12(4), 361-400, 2009. (Matlab Sofeware)
Long range dependence, unbalanced Haar wavelet transformation and changes in local mean level, with Vladas Pipiras, International Journal of Wavelets, Multiresolution and Information Processing, 7(1), 23-58, 2009. (Matlab Software)
Korean Journals
Detection of structural changes in the covariance matrix using block wild bootstrap, with Jungmin Um, Journal of the Korean Data & Information Science Society, Vol 36(1), 87-99, 2025.
Comparative study of CV methods for outlier detection in time series using deep learning models, with Suntae Park, Journal of the Korean Data & Information Science Society, Vol 36(1), 23-39, 2025.
Matrix-valued heterogeneous autoregressive modeling, with Eehyun Park, Journal of the Korean Data & Information Science Society, Vol 35(6), 961-973, 2024.
Sparse additive matrix autoregressive model, with Jinhyeok Kim, Journal of the Korean Data & Information Science Society, Vol 35(6), 905-917, 2024.
Comparison of time series CV methods for deep learning, with Youngwon Seo, Journal of the Korean Data & Information Science Society, Vol 35(3), 397–410, 2024.
Change-point detection for high-dimensional time series using geometric mapping, with Minji Kim, Journal of the Korean Data & Information Science Society, Vol 35(1), 47-61, 2024.
Banded vector heterogeneous autoregression models, with Sangtae Kim, The Korean Journal of Applied Statistics, Vol 36(6), 529-545, 2023.
Deep learning approaches for interval prediction, with SeungAh Yi, Journal of the Korean Data & Information Science Society, Vol 34(6), 893-904, 2023.
Block wild bootstrap for self-normalization based change-point detection, with Junhyun Park, Journal of the Korean Data & Information Science Society, Vol 34(5), 823-835, 2023.
Threshold heterogeneous autoregressive modeling for realized volatility, with Sein Moon and Minsu Park, The Korean Journal of Applied Statistics, Vol 36(4), 295-307, 2023.
Sparse vector heterogeneous autoregressive model with nonconvex penalties, with Andrew Jaeho Shin , Minsu Park, Communications for Statistical Applications and Methods, 29(1), 53–64, 2022.
Controlling the false discovery rate in sparse VHAR models using knockoffs, Minsu Park and Jaewon Lee, The Korean Journal of Applied Statistics, Vol 35(6), 685-701, 2022.
Robust estimation of sparse vector autoregressive models, with Dongyeong Kim, The Korean Journal of Applied Statistics, Vol 35(5), 631-644, 2022.
Outlier detection for multivariate long memory processes, with Kyunghee Kim, Seungyeun Yu, The Korean Journal of Applied Statistics, Vol 35(3), 395-406, 2022.
Factor augmentation for cryptocurrency return forecasting, with Yebin Yeom, Yoojin Han, Jaehyun Lee, Seryeong Park, The Korean Journal of Applied Statistics, Vol 35(2), 189-201, 2022.
Autoencoder factor augmented heterogeneous autoregressive model, with Minsu Park, The Korean Journal of Applied Statistics Vol 35(1), 49-62, 2022.
High-dimensional change point detection using MOSUM-based sparse projection, with Moonjung Kim, The Korean Journal of Applied Statistics, Vol 35(1), 63-75, 2022.
Matrix Profile as an Exploratory Financial Data Analysis Tool, with Yena Cho, Journal of the Korean Data Analysis Society, 24(1), 67-81, 2022.
Value at Risk calculation using sparse vine copula models, with Kwangjoon An, The Korean Journal of Applied Statistics, 34(6), 875–887, 2021.
Outlier detection for long memory processes, with Kyeongmin Lee, Journal of the Korean Data & Information Science Society, 32(6),1205-1218, 2021.
Bivariate long range dependent time series forecasting using deep learning, with Jiyoung Kim, The Korean Journal of Applied Statistics, 32(1), 69-81, 2019.
Estimation of long memory parameter in nonparametric regression, with Yeoyoung Cho, Communications for Statistical Applications and Methods, Vol. 26, No. 6, 611–622, 2019.
Time series representation for clustering using unbalanced Haar wavelet transformation, with Sehun Lee, The Koran Journal of Applied Statistics, 31(6), 707–719, 2018.
Neural network heterogeneous autoregressive models for realized volatility , with Jaiyool Kim, Communications for Statistical Applications and Methods, 25(6), 659-671, 2018.
Time-varying modeling of the composite LN-GPD, with Sojin Park, The Korean Journal of Applied Statistics, 31(1), 109-122, 2018.
Threshold estimation for the composite LN-GPD models, with Bobae Kim, Jisuk Noh, The Korean Journal of Applied Statistics, 29(5), 807-822, 2016.
Bootstrap estimation of long-run variance under strong dependence, with Yong Kwon, The Korean Journal of Applied Statistics, 29 (3), 449-462, 2016.
Adaptive lasso in sparse vector autoregressive models, with Sl Gi Lee, The Korean Journal of Applied Statistics, 29 (1), 27-39, 2016.
A Modified Lee-Carter Model based on the Projection of the Skewness of the Mortality, with Hangsuk Lee and Jihyeon Kim, The Korean Journal of Applied Statistics, 29 (1), 41-59, 2016.
Filtered coupling measures for variable selection in sparse vector autoregressive modeling, with Seungkyu Lee, The Korean Journal of Applied Statistics, 28(5), 871-883, 2015.
On multivariate GARCH model selection based on risk management, with SeRin Park, Journal of the Korean Data & Information Science Society, 25(6), 1333-1343, 2014.
The sparse vector autoregressive model for PM10 in Korea , with Wonseok Lee, Journal of the Korean Data & Information Science Society, 25(4), 807-817, 2014.
Measuring Hadoop Optimality by Lorenz Curve, The Korean Journal of Applied Statistics, with Woo-Cheol Kim, 27(2), 249-261, 2014.
Time Series Modelling of Air Quality in Korea: Long Range Dependence or Changes in Mean? , The Korean Journal of Applied Statistics, 26(6), 987-998, 2013.