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Author ID: li.wai-keung Recent zbMATH articles by "Li, Wai Keung"
Published as: Li, Wai Keung; Li, W. K.; Li, Wai-Keung; Li, Wai K.
all top 5

Serials

18 Biometrika
16 Statistica Sinica
13 Journal of Time Series Analysis
12 Computational Statistics and Data Analysis
4 Journal of the American Statistical Association
4 Journal of Statistical Computation and Simulation
4 Econometric Theory
4 Quantitative Finance
4 Statistics and Its Interface
3 The Canadian Journal of Statistics
3 Journal of Econometrics
3 Insurance Mathematics & Economics
3 Econometric Reviews
2 Annals of the Institute of Statistical Mathematics
2 Journal of Statistical Planning and Inference
2 Science in China. Series A
2 Communications in Statistics. Simulation and Computation
2 Communications in Statistics. Theory and Methods
2 Chaos
2 Journal of the Royal Statistical Society. Series B. Statistical Methodology
2 Journal of Actuarial Practice
1 Scandinavian Journal of Statistics
1 The Annals of Statistics
1 The Australian Journal of Statistics
1 Biometrics
1 Journal of Multivariate Analysis
1 Sankhyā. Series B. Methodological
1 Journal of the Japan Statistical Society
1 Statistics & Probability Letters
1 International Journal of Approximate Reasoning
1 Journal of the Royal Statistical Society. Series B
1 International Journal of Bifurcation and Chaos in Applied Sciences and Engineering
1 Computational Economics
1 Journal of Nonparametric Statistics
1 Journal of Applied Statistics
1 Stochastic Environmental Research and Risk Assessment
1 IMA Journal of Management Mathematics
1 Fields Institute Communications
1 Monographs on Statistics and Applied Probability

Publications by Year

Citations contained in zbMATH Open

98 Publications have been cited 1,701 times in 969 Documents Cited by Year
An adaptive estimation of dimension reduction space (with discussion). Zbl 1091.62028
Xia, Yingcun; Tong, Howell; Li, W. K.; Zhu, Li-Xing
338
2002
Diagnostic checking ARMA time series models using squared-residual autocorrelations. Zbl 0536.62067
McLeod, A. I.; Li, W. K.
109
1983
On a mixture autoregressive model. Zbl 0941.62095
Wong, Chun Shan; Li, Wai Keung
73
2000
On the squared residual autocorrelations in nonlinear time series with conditional heteroskedasticity. Zbl 0807.62070
Li, W. K.; Mak, T. K.
70
1994
On single-index coefficient regression models. Zbl 1069.62548
Xia, Yingcun; Li, W. K.
70
1999
Diagnostic checks in time series. Zbl 1053.62100
Li, Wai Keung
63
2004
On fractionally integrated autoregressive moving-average time series models with conditional heteroscedasticity. Zbl 1067.62572
Ling, Shiqing; Li, W. K.
62
1997
On a mixture autoregressive conditional heteroscedastic model. Zbl 1051.62091
Wong, Chun Shan; Li, Wai Keung
61
2001
On extended partially linear single-index models. Zbl 0942.62109
Xia, Yingcun; Tong, Howell; Li, W. K.
53
1999
Distribution of the residual autocorrelations in multivariate ARMA time series models. Zbl 0505.62079
Li, W. K.; McLeod, A. I.
49
1981
On the estimation and testing of functional-coefficient linear models. Zbl 0958.62040
Xia, Yingcun; Li, W. K.
47
1999
Limiting distributions of maximum likelihood estimators for unstable autoregressive moving-average time series with general autoregressive heteroscedastic errors. Zbl 0932.62103
Ling, Shiqing; Li, W. K.
40
1998
Time series models based on generalized linear models: Some further results. Zbl 0825.62606
Li, W. K.
35
1994
Estimation and testing for unit root processes with GARCH(1,1) errors: theory and Monte Carlo evidence. Zbl 1106.62346
Ling, Shiqing; Li, W. K.; McAleer, Michael
31
2003
The Gerber-Shiu expected discounted penalty function for risk processes with interest and a constant dividend barrier. Zbl 1273.91456
Yuen, Kam C.; Wang, Guojing; Li, Wai K.
29
2007
Self-excited threshold Poisson autoregression. Zbl 1367.62267
Wang, Chao; Liu, Heng; Yao, Jian-Feng; Davis, Richard A.; Li, Wai Keung
29
2014
On a logistic mixture autoregressive model. Zbl 0985.62074
Wong, C. S.; Li, W. K.
28
2001
Diagnostic checking of nonlinear multivariate time series with multivariate ARCH errors. Zbl 0882.62081
Ling, Shiqing; Li, W. K.
27
1997
A goodness-of-fit test for single-index models. (With comments and rejoinder). Zbl 1040.62034
Xia, Yingcun; Li, W. K.; Tong, Howell; Zhang, Dixin
22
2004
ARMA modelling with non-Gaussian innovations. Zbl 0637.62079
Li, W. K.; McLeod, A. I.
22
1988
On a threshold autoregression with conditional heteroscedastic variances. Zbl 0921.62113
Liu, J.; Li, W. K.; Li, C. W.
19
1997
On the asymptotic standard errors of residual autocorrelations in nonlinear time series modelling. Zbl 0751.62042
Li, W. K.
18
1992
On a multivariate conditional heteroscedastic model. Zbl 0883.62106
Wong, Heung; Li, W. K.
16
1997
Testing for threshold autoregression with conditional heteroscedasticity. Zbl 1058.62554
Wong, C. S.; Li, W. K.
16
1997
Diagnostic checking for time series models with conditional heteroscedasticity estimated by the least absolute deviation approach. Zbl 1152.62370
Li, Guodong; Li, Wai Keung
15
2005
On a mixture vector autoregressive model. Zbl 1124.62059
Fong, P. W.; Li, W. K.; Yau, C. W.; Wong, C. S.
15
2007
Asymptotic behavior of bandwidth selected by the cross-validation method for local polynomial fitting. Zbl 1025.62016
Xia, Yingcun; Li, W. K.
14
2002
Estimation of nonlinear time series with conditional heteroscedastic variances by iteratively weighted least squares. Zbl 0900.62467
Mak, T. K.; Wong, H.; Li, W. K.
14
1997
Least absolute deviation estimation for fractionally integrated autoregressive moving average time series models with conditional heteroscedasticity. Zbl 1437.62529
Li, Guodong; Li, Wai Keung
14
2008
On a mixture GARCH time-series model. Zbl 1115.62094
Zhang, Zhiqiang; Li, Wai Keung; Yuen, Kam Chuen
13
2006
Testing for double threshold autoregressive conditional heteroscedastic model. Zbl 0970.62059
Wong, C. S.; Li, W. K.
12
2000
Single-index volatility models and estimation. Zbl 1002.62082
Xia, Yingcun; Tong, Howell; Li, W. K.
12
2002
Hysteretic autoregressive time series models. Zbl 1452.62658
Li, Guodong; Guan, Bo; Li, Wai Keung; Yu, Philip L. H.
11
2015
Zero-inflated Poisson regression mixture model. Zbl 1471.62116
Lim, Hwa Kyung; Li, Wai Keung; Yu, Philip L. H.
10
2014
Estimation for partially nonstationary multivariate autoregressive models with conditional heteroscedasticity. Zbl 1006.62080
Li, W. K.; Ling, Shiqing; Wong, H.
9
2001
Asymptotic inference for nonstationary fractionally integrated autoregressive moving-average models. Zbl 1018.62075
Ling, Shiqing; Li, W. K.
9
2001
A method of estimating the noise level in a chaotic time series. Zbl 1307.37035
Jayawardena, A. W.; Xu, Pengcheng; Li, W. K.
9
2008
A bootstrapped spectral test for adequacy in weak ARMA models. Zbl 1337.62285
Zhu, Ke; Li, Wai Keung
9
2015
Modeling insurance claims via a mixture exponential model combined with peaks-over-threshold approach. Zbl 1285.91061
Lee, David; Li, Wai Keung; Wong, Tony Siu Tung
9
2012
Detecting and diagnostic checking multivariate conditional heteroscedastic time series models. Zbl 0991.62037
Wong, H.; Li, W. K.
9
2002
Testing a linear time series model against its threshold extension. Zbl 1210.62123
Li, Guodong; Li, Wai Keung
8
2011
A note on the corrected Akaike information criterion for threshold autoregressive models. Zbl 0902.62113
Wong, C. S.; Li, W. K.
8
1998
Testing model adequacy for some Markov regression models for time series. Zbl 0717.62078
Li, W. K.
8
1991
Threshold variable selection using nonparametric methods. Zbl 1145.62326
Xia, Yingcun; Li, Wai-Keung; Tong, Howell
7
2007
An algorithm for the exact likelihood of periodic autoregressive moving average models. Zbl 0695.62217
Li, W. K.; Hui, Yer Van
7
1988
Robust residual cross correlation tests for lagged relations in time series. Zbl 0832.62080
Li, W. K.; Hui, Y. V.
6
1994
Robust multiple time series modelling. Zbl 0666.62087
Li, W. K.; Hui, Yer Van
6
1989
On some models for value-at-risk. Zbl 1205.91095
Yu, Philip L. H.; Li, Wai Keung; Jin, Shusong
6
2010
A new hyperbolic GARCH model. Zbl 1337.62273
Li, Muyi; Li, Wai Keung; Li, Guodong
6
2015
Asymptotic theory on the least squares estimation of threshold moving-average models. Zbl 1274.62604
Li, Dong; Ling, Shiqing; Li, Wai Keung
6
2013
On the autopersistence functions and the autopersistence graphs of binary autoregressive time series. Zbl 1273.62227
Wang, Chao; Li, Wai Keung
6
2011
A goodness-of-fit test in robust time series modelling. Zbl 0638.62085
Li, W. K.
5
1988
On the least squares estimation of threshold autoregressive and moving-average models. Zbl 05983891
Li, Dong; Li, Wai Keung; Ling, Shiqing
5
2011
On the estimation and diagnostic checking of the ARFIMA-HYGARCH model. Zbl 1255.62261
Kwan, Wilson; Li, Wai Keung; Li, Guodong
5
2012
A threshold approach for peaks-over-threshold modeling using maximum product of spacings. Zbl 05769966
Wong, Tony Siu Tung; Li, Wai Keung
5
2010
Testing for threshold moving average with conditional heteroscedasticity. Zbl 1135.62071
Li, Guodong; Li, Wai Keung
5
2008
Testing model adequacy for dynamic panel data with intercorrelation. Zbl 1036.62073
Fu, Bo; Li, Wai-Keung; Fung, Wing-Kam
4
2002
Some Lagrange multiplier tests for seasonal differencing. Zbl 0735.62090
Li, W. K.
4
1991
On the autocorrelation structure and identification of some bilinear time series. Zbl 0546.62062
Li, W. K.
4
1984
Mixtures of nonparametric autoregressions. Zbl 1327.62253
Franke, J.; Stockis, J.-P.; Tadjuidje-Kamgaing, J.; Li, W. K.
4
2011
A simple multivariate ARCH model specified by random coefficients. Zbl 1157.62490
Fong, P. W.; Li, W. K.; An, Hong-Zhi
4
2006
Modified correlation entropy estimation for a noisy chaotic time series. Zbl 1311.37001
Jayawardena, A. W.; Xu, Pengcheng; Li, W. K.
4
2010
Least absolute deviation estimation for unit root processes with GARCH errors. Zbl 1284.62565
Li, Guodong; Li, Wai Keung
4
2009
Asymptotic inference for unit root processes with GARCH(1,1) errors. Zbl 1441.62798
Ling, Shiqing; Li, W. K.
4
2003
Multivariate modelling of the autoregressive random variance process. Zbl 0927.62092
So, Mike K. P.; Li, W. K.; Lam, K.
3
1997
Distribution of residual autocorrelations in multivariate autoregressive index models. Zbl 0586.62148
Li, W. K.
3
1985
A multivariate threshold varying conditional correlations model. Zbl 1180.62123
Kwan, W.; Li, W. K.; Ng, K. W.
3
2010
Interactive hidden Markov models and their applications. Zbl 1123.62087
Ching, W. K.; Fung, E.; Ng, M.; Siu, T. K.; Li, W. K.
3
2007
On some Matérn covariance functions for spatio-temporal random fields. Zbl 1369.62250
Ip, Ryan H. L.; Li, W. K.
3
2017
On mixture memory GARCH models. Zbl 1306.62201
Li, Muyi; Li, Wai Keung; Li, Guodong
3
2013
Testing for the buffered autoregressive processes. Zbl 1285.62113
Zhu, Ke; Yu, Philip L. H.; Li, Wai Keung
3
2014
Test for homogeneity in gamma mixture models using likelihood ratio. Zbl 1471.62219
Wong, Tony Siu Tung; Li, Wai Keung
3
2014
A note on the estimation of extreme value distributions using maximum product of spacings. Zbl 1268.62048
Wong, T. S. T.; Li, W. K.
2
2006
Ultimate ruin probability for a time-series risk model with dependent classes of insurance business. Zbl 1192.91121
Wan, Lai Mei; Yuen, Kam Chuen; Li, Wai Keung
2
2005
A Black-Litterman approach to correlation stress testing. Zbl 1402.62254
Ng, F. C.; Li, W. K.; Yu, Philip L. H.
2
2014
An independent component ordering and selection procedure based on the MSE criterion. Zbl 1178.94123
Wu, Edmond HaoCun; Yu, Philip L. H.; Li, W. K.
2
2006
A time-series risk model with constant interest for dependent classes of business. Zbl 1119.91060
Zhang, Zhiqiang; Yuen, Kam C.; Li, Wai Keung
2
2007
Some results on the estimation of a higher order Markov chain. Zbl 0707.62179
Li, W. K.; Kwok, Michael C. O.
2
1990
Diagnostic checking of the vector multiplicative error model. Zbl 1468.62146
Ng, F. C.; Li, W. K.; Yu, Philip L. H.
2
2016
Estimation of random coefficient autoregressive process: An empirical Bayes approach. Zbl 0523.62078
Li, W. K.; Hui, Y. V.
2
1983
Joint modeling of cointegration and conditional heteroscedasticity with applications. Zbl 1083.62097
Wong, Heung; Li, W. K.; Ling, Shiquing
2
2005
Modeling threshold conditional heteroscedasticity with regime-dependent skewness and kurtosis. Zbl 1464.62043
Cheng, Xixin; Li, W. K.; Yu, Philip L. H.; Zhou, Xuan; Wang, Chao; Lo, P. H.
1
2011
A robust goodness-of-fit test for generalized autoregressive conditional heteroscedastic models. Zbl 07072394
Zheng, Yao; Li, Wai Keung; Li, Guodong
1
2018
On time series with randomized unit root and randomized seasonal unit root. Zbl 1429.62395
Fong, Pak Wing; Li, Wai Keung
1
2003
A note on diagnostic checking of the double autoregressive model. Zbl 1186.62108
Kwok, Simon Sai Man; Li, Wai Keung
1
2009
A simple one degree of freedom test for nonlinear time series model discrimination. Zbl 0822.62075
Li, W. K.
1
1993
Distribution of the cross-correlations of squared residuals in ARIMA models. Zbl 0879.62089
Wong, H.; Li, W. K.
1
1996
On fractionally differenced periodic processes. Zbl 0856.62074
Hui, Y. V.; Li, W. K.
1
1995
Some results on cointegration with random coefficients in the error correction form: estimation and testing. Zbl 1062.62170
Fong, P. W.; Li, W. K.
1
2004
A new method for estimating subgroup means under misclassification. Zbl 0644.62008
Mak, T. K.; Li, W. K.
1
1988
On the threshold hyperbolic GARCH models. Zbl 1229.91360
Kwan, Wilson; Li, Wai Keung; Li, Guodong
1
2011
Diagnostic checking multivariate conditional heteroscedasticity. Zbl 0912.62100
Wong, H.; Li, W. K.
1
1996
On buffered threshold GARCH models. Zbl 1356.62150
Lo, Pak Hang; Li, Wai Keung; Yu, Philip L. H.; Li, Guodong
1
2016
Modeling default data via an interactive hidden Markov model. Zbl 1195.91176
Ching, Wai-Ki; Siu, Tak Kuen; Li, Li-Min; Li, Tang; Li, Wai-Keung
1
2009
A smoothed bootstrap test for independence based on mutual information. Zbl 1453.62248
Wu, Edmond H. C.; Yu, Philip L. H.; Li, W. K.
1
2009
The Akaike information criterion in threshold modelling: Some empirical evidences. Zbl 0709.62516
Li, W. K.
1
1988
Basket trading under co-integration with the logistic mixture autoregressive model. Zbl 1277.91166
Cheng, Xixin; Yu, Philip L. H.; Li, W. K.
1
2011
Double generalized threshold models with constraint on the dispersion by the mean. Zbl 06984106
Wu, K. Y. K.; Li, W. K.
1
2015
A robust goodness-of-fit test for generalized autoregressive conditional heteroscedastic models. Zbl 07072394
Zheng, Yao; Li, Wai Keung; Li, Guodong
1
2018
On some Matérn covariance functions for spatio-temporal random fields. Zbl 1369.62250
Ip, Ryan H. L.; Li, W. K.
3
2017
Diagnostic checking of the vector multiplicative error model. Zbl 1468.62146
Ng, F. C.; Li, W. K.; Yu, Philip L. H.
2
2016
On buffered threshold GARCH models. Zbl 1356.62150
Lo, Pak Hang; Li, Wai Keung; Yu, Philip L. H.; Li, Guodong
1
2016
Hysteretic autoregressive time series models. Zbl 1452.62658
Li, Guodong; Guan, Bo; Li, Wai Keung; Yu, Philip L. H.
11
2015
A bootstrapped spectral test for adequacy in weak ARMA models. Zbl 1337.62285
Zhu, Ke; Li, Wai Keung
9
2015
A new hyperbolic GARCH model. Zbl 1337.62273
Li, Muyi; Li, Wai Keung; Li, Guodong
6
2015
Double generalized threshold models with constraint on the dispersion by the mean. Zbl 06984106
Wu, K. Y. K.; Li, W. K.
1
2015
Self-excited threshold Poisson autoregression. Zbl 1367.62267
Wang, Chao; Liu, Heng; Yao, Jian-Feng; Davis, Richard A.; Li, Wai Keung
29
2014
Zero-inflated Poisson regression mixture model. Zbl 1471.62116
Lim, Hwa Kyung; Li, Wai Keung; Yu, Philip L. H.
10
2014
Testing for the buffered autoregressive processes. Zbl 1285.62113
Zhu, Ke; Yu, Philip L. H.; Li, Wai Keung
3
2014
Test for homogeneity in gamma mixture models using likelihood ratio. Zbl 1471.62219
Wong, Tony Siu Tung; Li, Wai Keung
3
2014
A Black-Litterman approach to correlation stress testing. Zbl 1402.62254
Ng, F. C.; Li, W. K.; Yu, Philip L. H.
2
2014
Asymptotic theory on the least squares estimation of threshold moving-average models. Zbl 1274.62604
Li, Dong; Ling, Shiqing; Li, Wai Keung
6
2013
On mixture memory GARCH models. Zbl 1306.62201
Li, Muyi; Li, Wai Keung; Li, Guodong
3
2013
Modeling insurance claims via a mixture exponential model combined with peaks-over-threshold approach. Zbl 1285.91061
Lee, David; Li, Wai Keung; Wong, Tony Siu Tung
9
2012
On the estimation and diagnostic checking of the ARFIMA-HYGARCH model. Zbl 1255.62261
Kwan, Wilson; Li, Wai Keung; Li, Guodong
5
2012
Testing a linear time series model against its threshold extension. Zbl 1210.62123
Li, Guodong; Li, Wai Keung
8
2011
On the autopersistence functions and the autopersistence graphs of binary autoregressive time series. Zbl 1273.62227
Wang, Chao; Li, Wai Keung
6
2011
On the least squares estimation of threshold autoregressive and moving-average models. Zbl 05983891
Li, Dong; Li, Wai Keung; Ling, Shiqing
5
2011
Mixtures of nonparametric autoregressions. Zbl 1327.62253
Franke, J.; Stockis, J.-P.; Tadjuidje-Kamgaing, J.; Li, W. K.
4
2011
Modeling threshold conditional heteroscedasticity with regime-dependent skewness and kurtosis. Zbl 1464.62043
Cheng, Xixin; Li, W. K.; Yu, Philip L. H.; Zhou, Xuan; Wang, Chao; Lo, P. H.
1
2011
On the threshold hyperbolic GARCH models. Zbl 1229.91360
Kwan, Wilson; Li, Wai Keung; Li, Guodong
1
2011
Basket trading under co-integration with the logistic mixture autoregressive model. Zbl 1277.91166
Cheng, Xixin; Yu, Philip L. H.; Li, W. K.
1
2011
On some models for value-at-risk. Zbl 1205.91095
Yu, Philip L. H.; Li, Wai Keung; Jin, Shusong
6
2010
A threshold approach for peaks-over-threshold modeling using maximum product of spacings. Zbl 05769966
Wong, Tony Siu Tung; Li, Wai Keung
5
2010
Modified correlation entropy estimation for a noisy chaotic time series. Zbl 1311.37001
Jayawardena, A. W.; Xu, Pengcheng; Li, W. K.
4
2010
A multivariate threshold varying conditional correlations model. Zbl 1180.62123
Kwan, W.; Li, W. K.; Ng, K. W.
3
2010
Least absolute deviation estimation for unit root processes with GARCH errors. Zbl 1284.62565
Li, Guodong; Li, Wai Keung
4
2009
A note on diagnostic checking of the double autoregressive model. Zbl 1186.62108
Kwok, Simon Sai Man; Li, Wai Keung
1
2009
Modeling default data via an interactive hidden Markov model. Zbl 1195.91176
Ching, Wai-Ki; Siu, Tak Kuen; Li, Li-Min; Li, Tang; Li, Wai-Keung
1
2009
A smoothed bootstrap test for independence based on mutual information. Zbl 1453.62248
Wu, Edmond H. C.; Yu, Philip L. H.; Li, W. K.
1
2009
Least absolute deviation estimation for fractionally integrated autoregressive moving average time series models with conditional heteroscedasticity. Zbl 1437.62529
Li, Guodong; Li, Wai Keung
14
2008
A method of estimating the noise level in a chaotic time series. Zbl 1307.37035
Jayawardena, A. W.; Xu, Pengcheng; Li, W. K.
9
2008
Testing for threshold moving average with conditional heteroscedasticity. Zbl 1135.62071
Li, Guodong; Li, Wai Keung
5
2008
The Gerber-Shiu expected discounted penalty function for risk processes with interest and a constant dividend barrier. Zbl 1273.91456
Yuen, Kam C.; Wang, Guojing; Li, Wai K.
29
2007
On a mixture vector autoregressive model. Zbl 1124.62059
Fong, P. W.; Li, W. K.; Yau, C. W.; Wong, C. S.
15
2007
Threshold variable selection using nonparametric methods. Zbl 1145.62326
Xia, Yingcun; Li, Wai-Keung; Tong, Howell
7
2007
Interactive hidden Markov models and their applications. Zbl 1123.62087
Ching, W. K.; Fung, E.; Ng, M.; Siu, T. K.; Li, W. K.
3
2007
A time-series risk model with constant interest for dependent classes of business. Zbl 1119.91060
Zhang, Zhiqiang; Yuen, Kam C.; Li, Wai Keung
2
2007
On a mixture GARCH time-series model. Zbl 1115.62094
Zhang, Zhiqiang; Li, Wai Keung; Yuen, Kam Chuen
13
2006
A simple multivariate ARCH model specified by random coefficients. Zbl 1157.62490
Fong, P. W.; Li, W. K.; An, Hong-Zhi
4
2006
A note on the estimation of extreme value distributions using maximum product of spacings. Zbl 1268.62048
Wong, T. S. T.; Li, W. K.
2
2006
An independent component ordering and selection procedure based on the MSE criterion. Zbl 1178.94123
Wu, Edmond HaoCun; Yu, Philip L. H.; Li, W. K.
2
2006
Diagnostic checking for time series models with conditional heteroscedasticity estimated by the least absolute deviation approach. Zbl 1152.62370
Li, Guodong; Li, Wai Keung
15
2005
Ultimate ruin probability for a time-series risk model with dependent classes of insurance business. Zbl 1192.91121
Wan, Lai Mei; Yuen, Kam Chuen; Li, Wai Keung
2
2005
Joint modeling of cointegration and conditional heteroscedasticity with applications. Zbl 1083.62097
Wong, Heung; Li, W. K.; Ling, Shiquing
2
2005
Diagnostic checks in time series. Zbl 1053.62100
Li, Wai Keung
63
2004
A goodness-of-fit test for single-index models. (With comments and rejoinder). Zbl 1040.62034
Xia, Yingcun; Li, W. K.; Tong, Howell; Zhang, Dixin
22
2004
Some results on cointegration with random coefficients in the error correction form: estimation and testing. Zbl 1062.62170
Fong, P. W.; Li, W. K.
1
2004
Estimation and testing for unit root processes with GARCH(1,1) errors: theory and Monte Carlo evidence. Zbl 1106.62346
Ling, Shiqing; Li, W. K.; McAleer, Michael
31
2003
Asymptotic inference for unit root processes with GARCH(1,1) errors. Zbl 1441.62798
Ling, Shiqing; Li, W. K.
4
2003
On time series with randomized unit root and randomized seasonal unit root. Zbl 1429.62395
Fong, Pak Wing; Li, Wai Keung
1
2003
An adaptive estimation of dimension reduction space (with discussion). Zbl 1091.62028
Xia, Yingcun; Tong, Howell; Li, W. K.; Zhu, Li-Xing
338
2002
Asymptotic behavior of bandwidth selected by the cross-validation method for local polynomial fitting. Zbl 1025.62016
Xia, Yingcun; Li, W. K.
14
2002
Single-index volatility models and estimation. Zbl 1002.62082
Xia, Yingcun; Tong, Howell; Li, W. K.
12
2002
Detecting and diagnostic checking multivariate conditional heteroscedastic time series models. Zbl 0991.62037
Wong, H.; Li, W. K.
9
2002
Testing model adequacy for dynamic panel data with intercorrelation. Zbl 1036.62073
Fu, Bo; Li, Wai-Keung; Fung, Wing-Kam
4
2002
On a mixture autoregressive conditional heteroscedastic model. Zbl 1051.62091
Wong, Chun Shan; Li, Wai Keung
61
2001
On a logistic mixture autoregressive model. Zbl 0985.62074
Wong, C. S.; Li, W. K.
28
2001
Estimation for partially nonstationary multivariate autoregressive models with conditional heteroscedasticity. Zbl 1006.62080
Li, W. K.; Ling, Shiqing; Wong, H.
9
2001
Asymptotic inference for nonstationary fractionally integrated autoregressive moving-average models. Zbl 1018.62075
Ling, Shiqing; Li, W. K.
9
2001
On a mixture autoregressive model. Zbl 0941.62095
Wong, Chun Shan; Li, Wai Keung
73
2000
Testing for double threshold autoregressive conditional heteroscedastic model. Zbl 0970.62059
Wong, C. S.; Li, W. K.
12
2000
On single-index coefficient regression models. Zbl 1069.62548
Xia, Yingcun; Li, W. K.
70
1999
On extended partially linear single-index models. Zbl 0942.62109
Xia, Yingcun; Tong, Howell; Li, W. K.
53
1999
On the estimation and testing of functional-coefficient linear models. Zbl 0958.62040
Xia, Yingcun; Li, W. K.
47
1999
Limiting distributions of maximum likelihood estimators for unstable autoregressive moving-average time series with general autoregressive heteroscedastic errors. Zbl 0932.62103
Ling, Shiqing; Li, W. K.
40
1998
A note on the corrected Akaike information criterion for threshold autoregressive models. Zbl 0902.62113
Wong, C. S.; Li, W. K.
8
1998
On fractionally integrated autoregressive moving-average time series models with conditional heteroscedasticity. Zbl 1067.62572
Ling, Shiqing; Li, W. K.
62
1997
Diagnostic checking of nonlinear multivariate time series with multivariate ARCH errors. Zbl 0882.62081
Ling, Shiqing; Li, W. K.
27
1997
On a threshold autoregression with conditional heteroscedastic variances. Zbl 0921.62113
Liu, J.; Li, W. K.; Li, C. W.
19
1997
On a multivariate conditional heteroscedastic model. Zbl 0883.62106
Wong, Heung; Li, W. K.
16
1997
Testing for threshold autoregression with conditional heteroscedasticity. Zbl 1058.62554
Wong, C. S.; Li, W. K.
16
1997
Estimation of nonlinear time series with conditional heteroscedastic variances by iteratively weighted least squares. Zbl 0900.62467
Mak, T. K.; Wong, H.; Li, W. K.
14
1997
Multivariate modelling of the autoregressive random variance process. Zbl 0927.62092
So, Mike K. P.; Li, W. K.; Lam, K.
3
1997
Distribution of the cross-correlations of squared residuals in ARIMA models. Zbl 0879.62089
Wong, H.; Li, W. K.
1
1996
Diagnostic checking multivariate conditional heteroscedasticity. Zbl 0912.62100
Wong, H.; Li, W. K.
1
1996
On fractionally differenced periodic processes. Zbl 0856.62074
Hui, Y. V.; Li, W. K.
1
1995
On the squared residual autocorrelations in nonlinear time series with conditional heteroskedasticity. Zbl 0807.62070
Li, W. K.; Mak, T. K.
70
1994
Time series models based on generalized linear models: Some further results. Zbl 0825.62606
Li, W. K.
35
1994
Robust residual cross correlation tests for lagged relations in time series. Zbl 0832.62080
Li, W. K.; Hui, Y. V.
6
1994
A simple one degree of freedom test for nonlinear time series model discrimination. Zbl 0822.62075
Li, W. K.
1
1993
On the asymptotic standard errors of residual autocorrelations in nonlinear time series modelling. Zbl 0751.62042
Li, W. K.
18
1992
Testing model adequacy for some Markov regression models for time series. Zbl 0717.62078
Li, W. K.
8
1991
Some Lagrange multiplier tests for seasonal differencing. Zbl 0735.62090
Li, W. K.
4
1991
Some results on the estimation of a higher order Markov chain. Zbl 0707.62179
Li, W. K.; Kwok, Michael C. O.
2
1990
Robust multiple time series modelling. Zbl 0666.62087
Li, W. K.; Hui, Yer Van
6
1989
ARMA modelling with non-Gaussian innovations. Zbl 0637.62079
Li, W. K.; McLeod, A. I.
22
1988
An algorithm for the exact likelihood of periodic autoregressive moving average models. Zbl 0695.62217
Li, W. K.; Hui, Yer Van
7
1988
A goodness-of-fit test in robust time series modelling. Zbl 0638.62085
Li, W. K.
5
1988
A new method for estimating subgroup means under misclassification. Zbl 0644.62008
Mak, T. K.; Li, W. K.
1
1988
The Akaike information criterion in threshold modelling: Some empirical evidences. Zbl 0709.62516
Li, W. K.
1
1988
Distribution of residual autocorrelations in multivariate autoregressive index models. Zbl 0586.62148
Li, W. K.
3
1985
On the autocorrelation structure and identification of some bilinear time series. Zbl 0546.62062
Li, W. K.
4
1984
Diagnostic checking ARMA time series models using squared-residual autocorrelations. Zbl 0536.62067
McLeod, A. I.; Li, W. K.
109
1983
Estimation of random coefficient autoregressive process: An empirical Bayes approach. Zbl 0523.62078
Li, W. K.; Hui, Y. V.
2
1983
Distribution of the residual autocorrelations in multivariate ARMA time series models. Zbl 0505.62079
Li, W. K.; McLeod, A. I.
49
1981
all top 5

Cited by 1,267 Authors

37 Zhu, Lixing
23 Li, Wai Keung
21 Ling, Shiqing
18 Zhang, Riquan
17 Duchesne, Pierre
16 Yin, Xiangrong
15 Huang, Zhensheng
15 Xue, Liugen
13 Chen, Cathy W. S.
13 Liang, Hua
13 McAleer, Michael
13 Yang, Hu
11 Lian, Heng
11 Wang, Dehui
11 Wang, Qihua
11 Wang, Qin
11 Zhu, Liping
10 Li, Bing
10 Li, Guodong
9 Feng, Sanying
9 Lee, Sangyeol
9 Li, Gaorong
9 Xia, Yingcun
9 You, Jinhong
9 Yu, Zhou
9 Yuen, Kam Chuen
9 Zhu, Fukang
8 Dong, Yuexiao
8 Tong, Howell
8 Yang, Kai
8 Zhao, Weihua
8 Zhou, Yong
7 Guo, Xu
7 Horváth, Lajos
7 Jiang, Rong
7 Li, Han
7 Lin, Lu
7 Lv, Jing
7 Park, Jin-Hong
7 Shao, Xiaofeng
7 Tjøstheim, Dag B.
7 Zhu, Ke
6 Aknouche, Abdelhakim
6 Cai, Zongwu
6 Francq, Christian
6 Gao, Jiti
6 Guo, Chaohui
6 Li, Lexin
6 Li, Qi
6 Liu, Jicai
6 Nielsen, Morten Ørregaard
6 Qian, Weimin
6 Taylor, A. M. Robert
6 Wang, Tao
6 Wen, Xuerong Meggie
6 Wong, Heung
6 Zakoïan, Jean-Michel
5 Bentarzi, Mohamed
5 Bindele, Huybrechts F.
5 Cavaliere, Giuseppe
5 Cavicchioli, Maddalena
5 Chan, Ngai Hang
5 Cook, Ralph Dennis
5 Gerlach, Richard H.
5 Hoti, Suhejla
5 Lai, Peng
5 Li, Dong
5 Li, Muyi
5 Lin, Jinguan
5 Lue, Heng-Hui
5 Siu, Tak Kuen
5 So, Mike K. P.
5 Xu, Peirong
5 Xu, Wangli
5 Xue, Yuan
5 Yang, Jing
5 Zhang, Hongfan
5 Zhang, Rongmao
5 Zhang, Wenyang
5 Zhou, Xian
5 Zhou, Zhangong
5 Zhu, Xuehu
4 Artemiou, Andreas
4 Boshnakov, Georgi N.
4 Bura, Efstathia
4 Chan, Felix T. S.
4 Chen, Gemai
4 Diongue, Abdou Kâ
4 Feng, Zhenghui
4 Hu, Xuemei
4 Katayama, Naoya
4 Kokoszka, Piotr S.
4 Lau, John Wei
4 Li, Degui
4 Lu, Xuewen
4 Lv, Yazhao
4 Ma, Shujie
4 Ma, Yanyuan
4 Meitz, Mika
4 Niu, Cuizhen
...and 1,167 more Authors
all top 5

Cited in 131 Serials

96 Computational Statistics and Data Analysis
69 Journal of Multivariate Analysis
45 Journal of Econometrics
43 Journal of Statistical Planning and Inference
41 The Annals of Statistics
38 Statistics & Probability Letters
30 Journal of Time Series Analysis
28 Journal of Statistical Computation and Simulation
26 Econometric Theory
24 Communications in Statistics. Theory and Methods
23 Electronic Journal of Statistics
22 Communications in Statistics. Simulation and Computation
21 Journal of Nonparametric Statistics
20 Statistical Papers
18 Computational Statistics
17 Annals of the Institute of Statistical Mathematics
17 Journal of Applied Statistics
16 Mathematics and Computers in Simulation
16 Econometric Reviews
16 Bernoulli
15 Insurance Mathematics & Economics
14 Statistics
14 Test
14 Statistica Sinica
13 Journal of the Korean Statistical Society
10 The Canadian Journal of Statistics
10 Journal of Computational and Applied Mathematics
10 Science China. Mathematics
10 Statistics and Computing
9 Journal of Systems Science and Complexity
7 Scandinavian Journal of Statistics
7 Journal of the American Statistical Association
6 Metrika
6 Acta Mathematicae Applicatae Sinica. English Series
6 Economics Letters
6 The Econometrics Journal
6 Journal of the Royal Statistical Society. Series B. Statistical Methodology
6 Applied Stochastic Models in Business and Industry
5 Applied Mathematics. Series B (English Edition)
5 Methodology and Computing in Applied Probability
5 Brazilian Journal of Probability and Statistics
5 AStA. Advances in Statistical Analysis
4 Biometrics
4 Metron
4 Statistical Science
4 Stochastic Processes and their Applications
4 Australian & New Zealand Journal of Statistics
4 Quantitative Finance
4 Statistical Modelling
4 Statistical Methodology
3 Neural Computation
3 Computational Economics
3 Journal of Machine Learning Research (JMLR)
3 ASTIN Bulletin
3 North American Actuarial Journal
3 Statistical Methods and Applications
3 The Annals of Applied Statistics
3 Statistics Surveys
3 Afrika Statistika
3 SIAM/ASA Journal on Uncertainty Quantification
2 Science in China. Series A
2 Annals of Operations Research
2 Machine Learning
2 Applied and Computational Harmonic Analysis
2 Statistical Inference for Stochastic Processes
2 Scandinavian Actuarial Journal
2 Stochastic Models
2 Iranian Journal of Science and Technology. Transaction A: Science
2 Inverse Problems in Science and Engineering
2 Advances in Data Analysis and Classification. ADAC
2 Journal of Statistical Theory and Practice
2 Sankhyā. Series A
2 Bayesian Analysis
1 Biological Cybernetics
1 Computer Methods in Applied Mechanics and Engineering
1 Journal of Computational Physics
1 Periodica Mathematica Hungarica
1 Physica A
1 Chaos, Solitons and Fractals
1 Applied Mathematics and Computation
1 Biometrical Journal
1 Econometrica
1 Nonlinear Analysis. Theory, Methods & Applications. Series A: Theory and Methods
1 Statistica Neerlandica
1 Moscow University Computational Mathematics and Cybernetics
1 Operations Research Letters
1 Chinese Annals of Mathematics. Series B
1 Journal of the Nigerian Mathematical Society
1 Journal of Classification
1 Probability Theory and Related Fields
1 Journal of Economic Dynamics & Control
1 Mathematical and Computer Modelling
1 The Annals of Applied Probability
1 Applied Mathematical Modelling
1 Linear Algebra and its Applications
1 Proceedings of the Indian Academy of Sciences. Mathematical Sciences
1 SIAM Journal on Scientific Computing
1 Open Economies Review
1 Mathematical Methods of Statistics
1 Lifetime Data Analysis
...and 31 more Serials

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