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Author ID: lee.sangyeol Recent zbMATH articles by "Lee, Sangyeol"
Published as: Lee, Sangyeol; Lee, S.; Lee, Sang Yeol

Publications by Year

Citations contained in zbMATH Open

139 Publications have been cited 1,090 times in 574 Documents Cited by Year
The cusum test for parameter change in time series models. Zbl 1053.62085
Lee, Sangyeol; Ha, Jeongcheol; Na, Okyoung; Na, Seongryong
82
2003
The cusum of squares test for scale changes in infinite order moving average processes. Zbl 1010.62079
Lee, Sangyeol; Park, Siyun
52
2001
Parameter change test for Poisson autoregressive models. Zbl 1305.62313
Kang, Jiwon; Lee, Sangyeol
40
2014
On residual empirical processes of stochastic regression models with applications to time series. Zbl 0943.62092
Lee, Sangyeol; Wei, Ching-Zong
39
1999
On the Bickel-Rosenblatt test for first-order autoregressive models. Zbl 0994.62082
Lee, Sangyeol; Na, Seongryong
33
2002
Parameter change test for random coefficient integer-valued autoregressive processes with application to polio data analysis. Zbl 1221.62126
Kang, Jiwon; Lee, Sangyeol
29
2009
Generalized Poisson autoregressive models for time series of counts. Zbl 1468.62037
Chen, Cathy W. S.; Lee, Sangyeol
23
2016
Sequential estimation of the mean of a linear process. Zbl 0754.62063
Fakhre-Zakeri, I.; Lee, S.
23
1992
Parameter change test for zero-inflated generalized Poisson autoregressive models. Zbl 1359.62376
Lee, Sangyeol; Lee, Youngmi; Chen, Cathy W. S.
22
2016
On the CUSUM test for parameter changes in GARCH(1,1) models. Zbl 1107.62359
Kim, Soohwa; Cho, Sinsup; Lee, Sangyeol
21
2000
The cusum test for parameter change in regression models with arch errors. Zbl 1062.62191
Lee, Sangyeol; Tokutsu, Yasuyoshi; Maekawa, Koichi
21
2004
Nonlinear expectile regression with application to value-at-risk and expected shortfall estimation. Zbl 1468.62101
Kim, Minjo; Lee, Sangyeol
19
2016
Test for parameter change in diffusion processes by CUSUM statistics based on one-step estimators. Zbl 1095.62100
Lee, Sangyeol; Nishiyama, Yoichi; Yoshida, Nakahiro
19
2006
A model selection criterion based on the BHHJ measure of divergence. Zbl 1149.62002
Mattheou, K.; Lee, S.; Karagrigoriou, A.
19
2009
On the cusum of squares test for variance change in nonstationary and nonparametric time series models. Zbl 1049.62051
Lee, Sangyeol; Na, Okyoung; Na, Seongryong
18
2003
Asymptotic theory for ARCH-SM models: LAN and residual empirical processes. Zbl 1059.62014
Lee, Sangyeol; Taniguchi, Masanobu
18
2005
Monitoring parameter change in time series models. Zbl 1230.62119
Na, Okyoung; Lee, Youngmi; Lee, Sangyeol
17
2011
A maximum entropy type test of fit. Zbl 1464.62117
Lee, Sangyeol; Vonta, Ilia; Karagrigoriou, Alex
17
2011
Minimum density power divergence estimator for Poisson autoregressive models. Zbl 1506.62089
Kang, Jiwon; Lee, Sangyeol
17
2014
CUSUM test for general nonlinear integer-valued GARCH models: comparison study. Zbl 1431.62396
Lee, Youngmi; Lee, Sangyeol
16
2019
Coefficient constancy test in a random coefficient autoregressive model. Zbl 0924.62092
Lee, Sangyeol
15
1998
On first-order integer-valued autoregressive process with Katz family innovations. Zbl 07191955
Kim, Hanwool; Lee, Sangyeol
15
2017
Sequential estimation for the parameters of a stationary autoregressive model. Zbl 0814.62046
Lee, Sangyeol
14
1994
Quantile regression estimator for GARCH models. Zbl 1259.62080
Lee, Sangyeol; Noh, Jungsik
14
2013
An asymptotically optimal selection of the order of a linear process. Zbl 1004.62068
Lee, Sangyeol; Karagrigoriou, Alex
13
2001
Partial teleportation of entanglement in a noisy environment. Zbl 1004.81505
Lee, Jinhyoung; Kim, M. S.; Park, Y. J.; Lee, Sangyeol
13
2000
Normal mixture quasi-maximum likelihood estimator for GARCH models. Zbl 1198.62101
Lee, Taewook; Lee, Sangyeol
13
2009
Estimation of a tail index based on minimum density power divergence. Zbl 1151.62321
Kim, Moosup; Lee, Sangyeol
13
2008
Asymptotic normality and parameter change test for bivariate Poisson INGARCH models. Zbl 06852282
Lee, Youngmi; Lee, Sangyeol; Tjøstheim, Dag
13
2018
Test for parameter change in stochastic processes based on conditional least-squares estimator. Zbl 1066.62082
Lee, Sangyeol; Na, Okyoung
11
2005
Minimum density power divergence estimator for GARCH models. Zbl 1203.62158
Lee, Sangyeol; Song, Junmo
11
2009
Test for parameter change in ARMA models with GARCH innovations. Zbl 1147.62074
Lee, Sangyeol; Song, Junmo
11
2008
Modified residual CUSUM test for location-scale time series models with heteroscedasticity. Zbl 1431.62406
Oh, Haejune; Lee, Sangyeol
11
2019
Sequential estimation for the autocorrelations of linear processes. Zbl 0898.62099
Lee, Sangyeol
10
1996
Sequential point estimation of parameters in a threshold AR(1) model. Zbl 0995.62070
Lee, Sangyeol; Sriram, T. N.
10
1999
Test for parameter change based on the estimator minimizing density-based divergence measures. Zbl 1095.62024
Lee, Sangyeol; Na, Okyoung
10
2005
Test for tail index change in stationary time series with Pareto-type marginal distribution. Zbl 1200.62054
Kim, Moosup; Lee, Sangyeol
10
2009
Test for parameter change in discretely observed diffusion processes. Zbl 1205.62116
Song, Junmo; Lee, Sangyeol
10
2009
Parameter change test for nonlinear time series models with GARCH type errors. Zbl 1312.62109
Lee, Jiyeon; Lee, Sangyeol
10
2015
Change point detection in copula ARMA-GARCH models. Zbl 1281.62182
Na, Okyoung; Lee, Jiyeon; Lee, Sangyeol
9
2012
Robust estimation for the covariance matrix of multivariate time series based on normal mixtures. Zbl 1365.62343
Kim, Byungsoo; Lee, Sangyeol
9
2013
Sequential estimation of the mean vector of a multivariate linear process. Zbl 0799.62092
Fakhre-Zakeri, Issa; Lee, Sangyeol
9
1993
A family of IDMRL tests with unknown turning point. Zbl 1037.62104
Na, Myung Hwan; Lee, Sangyeol
8
2003
Quantile regression for location-scale time series models with conditional heteroscedasticity. Zbl 1468.62274
Noh, Jungsik; Lee, Sangyeol
8
2016
Monitoring distributional changes in autoregressive models. Zbl 1175.62095
Lee, Sangyeol; Lee, Youngmi; Na, Okyoung
8
2009
Robust estimation for zero-inflated Poisson autoregressive models based on density power divergence. Zbl 07192106
Kim, Byungsoo; Lee, Sangyeol
8
2017
Residual empirical process for diffusion processes. Zbl 1140.60337
Lee, Sangyeol; Wee, In-Suk
8
2008
On score vector- and residual-based CUSUM tests in ARMA-GARCH models. Zbl 1427.62104
Oh, Haejune; Lee, Sangyeol
7
2018
A note on the Jarque-Bera normality test for GARCH innovations. Zbl 1293.62194
Lee, Sangyeol; Park, Siyun; Lee, Taewook
7
2010
Robust estimation for the covariance matrix of multi-variate time series. Zbl 1294.62205
Kim, Byungsoo; Lee, Sangyeol
7
2011
Maximum entropy test for GARCH models. Zbl 1486.62241
Lee, Jiyeon; Lee, Sangyeol; Park, Siyun
7
2015
Trimmed portmanteau test for linear processes with infinite variance. Zbl 1181.62138
Lee, Sangyeol; Ng, Chi Tim
6
2010
Posterior consistency of species sampling priors. Zbl 1187.62055
Jang, Gun Ho; Lee, Jaeyong; Lee, Sangyeol
6
2010
Change point test for tail index for dependent data. Zbl 1226.62080
Kim, Moosup; Lee, Sangyeol
6
2011
Goodness-of-fit test for stochastic volatility models. Zbl 1277.62125
Lin, Liang-Ching; Lee, Sangyeol; Guo, Meihui
6
2013
Change point test for dispersion parameter based on discretely observed sample from SDE models. Zbl 1219.62124
Lee, Sangyeol
6
2011
A nonparametric goodness of fit test for strong mixing processes. Zbl 0981.62038
Lee, Sangyeol; Na, Seongryong
5
2000
Cusum test for parameter change based on the maximum likelihood estimator. Zbl 1101.62066
Lee, Sangyeol; Lee, Taewook
5
2004
Kernel density estimator for strong mixing processes. Zbl 1089.62036
Kim, Tae Yoon; Lee, Sangyeol
5
2005
Inference for Box-Cox transformed threshold GARCH models with nuisance parameters. Zbl 1323.62085
Lee, Sangyeol; Lee, Taewook
5
2012
A maximum entropy type test of fit: composite hypothesis case. Zbl 1365.62155
Lee, Sangyeol
5
2013
Robust estimation for general integer-valued time series models. Zbl 1466.62388
Kim, Byungsoo; Lee, Sangyeol
5
2020
Robust estimation for copula parameter in SCOMDY models. Zbl 1288.62047
Kim, Byungsoo; Lee, Sangyeol
5
2013
A note on the residual empirical process in autoregressive models. Zbl 0901.62111
Lee, Sangyeol
4
1997
A nonparametric test for the change of the density function in strong mixing processes. Zbl 1117.62472
Lee, Sangyeol; Na, Seongryong
4
2004
Experimental observation of dynamic stabilization in a double-well Duffing oscillator. Zbl 1115.70307
Kim, Youngtae; Lee, Sang Yeol; Kim, Sang-Yoon
4
2000
Parameter change test for autoregressive conditional duration models. Zbl 1359.62351
Lee, Sangyeol; Oh, Haejune
4
2016
The Bickel–Rosenblatt test for diffusion processes. Zbl 1095.62099
Lee, Sangyeol
4
2006
Monitoring parameter changes for random coefficient autoregressive models. Zbl 1294.62210
Na, Okyoung; Lee, Jiyeon; Lee, Sangyeol
4
2010
Change point test of tail index for autoregressive processes. Zbl 1296.62171
Kim, Moosup; Lee, Sangyeol
4
2012
Minimum density power divergence estimator for diffusion processes. Zbl 1441.62219
Lee, Sangyeol; Song, Junmo
4
2013
Value-at-risk forecasting based on Gaussian mixture ARMA-GARCH model. Zbl 1432.62306
Lee, Sangyeol; Lee, Taewook
4
2011
Monitoring parameter shift with Poisson integer-valued GARCH models. Zbl 07192028
Huh, Jaewon; Kim, Hanwool; Lee, Sangyeol
4
2017
Location and scale-based CUSUM test with application to autoregressive models. Zbl 07480208
Lee, Sangyeol
4
2020
Local non-stationarity test in mean for Markov switching GARCH models: an approximate Bayesian approach. Zbl 1342.65025
Chen, Cathy W. S.; Lee, Sangyeol; Chen, Shu-Yu
4
2016
A random functional central limit theorem for stationary linear processes generated by martingales. Zbl 0887.60041
Fakhre-Zakeri, Issa; Lee, Sangyeol
4
1997
Residual-based CUSUM of squares test for Poisson integer-valued GARCH models. Zbl 07193891
Lee, Sangyeol
4
2019
On functional limit theorems for multivariate linear processes with applications to sequential estimation. Zbl 0956.60020
Fakhre-Zakeri, Issa; Lee, Sangyeol
3
2000
A test for independence of two stationary infinite order autoregressive processes. Zbl 1083.62090
Kim, Eunhee; Lee, Sangyeol
3
2005
Test for dispersion constancy in stochastic differential equation models. Zbl 06292441
Lee, Sangyeol; Guo, Meihui
3
2012
On the goodness of fit test for discretely observed sample from diffusion processes: divergence measure approach. Zbl 1201.62097
Lee, Sangyeol
3
2010
On entropy-based goodness-of-fit test for asymmetric Student-\(t\) and exponential power distributions. Zbl 1492.62049
Lee, Sangyeol; Kim, Minjo
3
2017
Change point detection in SCOMDY models. Zbl 1443.62232
Na, Okyoung; Lee, Jiyeon; Lee, Sangyeol
3
2013
On Fisher’s dispersion test for integer-valued autoregressive Poisson models with applications. Zbl 1380.37153
Lee, Sangyeol; Park, Siyun; Chen, Cathy W. S.
3
2017
Mildly explosive autoregression with mixing innovations. Zbl 1390.62182
Oh, Haejune; Lee, Sangyeol; Chan, Ngai Hang
3
2018
Modeling and inference for counts time series based on zero-inflated exponential family INGARCH models. Zbl 07497054
Lee, Sangyeol; Kim, Dongwon; Seok, Seongwoo
3
2021
Entropy-based goodness of fit test for a composite hypothesis. Zbl 1338.62088
Lee, Sangyeol
3
2016
On the quantile process based on the autoregressive residuals. Zbl 1066.62538
Lee, Sangyeol
2
1998
On the Kolmogorov-Smirnov type test for testing nonlinearity in time series. Zbl 1008.62667
Kim, Youngjin; Lee, Sangyeol
2
2002
Coefficient constancy test in AR-ARCH models. Zbl 0996.62080
Ha, Jeongcheol; Lee, Sangyeol
2
2002
Testing heterogeneity for frailty distribution in shared frailty model. Zbl 1131.62326
Lee, Sungim; Lee, Sangyeol
2
2003
Entropy test and residual empirical process for autoregressive conditional duration models. Zbl 1468.62116
Lee, Sangyeol; Oh, Haejune
2
2015
On the tail index inference for heavy-tailed GARCH-type innovations. Zbl 1440.62332
Kim, Moosup; Lee, Sangyeol
2
2016
Fixed-width confidence interval based on a minimum Hellinger distance estimator. Zbl 1099.62091
Lee, Sangyeol; Sriram, T. N.; Wei, Xinyu
2
2006
Quantile regression estimation for discretely observed SDE models with compound Poisson jumps. Zbl 1283.62070
Noh, Jungsik; Lee, Seung Y.; Lee, Sangyeol
2
2012
Goodness-of-fit tests for parametric specifications of conditionally heteroscedastic models. Zbl 1458.62201
Jiménez-Gamero, M. Dolores; Lee, Sangyeol; Meintanis, Simos G.
2
2020
Robust estimation for order of hidden Markov models based on density power divergences. Zbl 1432.62280
Lee, Sangyeol; Lee, Taewook
2
2010
The monitoring test for the stability of regression models with nonstationary regressors. Zbl 1181.62139
Lee, Sangyeol; Park, Siyun
2
2009
The CUSUM of squares test for the stability of regression models with non-stationary regressors. Zbl 1255.62269
Lu, Xinhong; Maekawa, Koichi; Lee, Sangyeol
2
2008
Modeling and inference for multivariate time series of counts based on the INGARCH scheme. Zbl 07602494
Lee, Sangyeol; Kim, Dongwon; Kim, Byungsoo
2
2023
Modeling and inference for multivariate time series of counts based on the INGARCH scheme. Zbl 07602494
Lee, Sangyeol; Kim, Dongwon; Kim, Byungsoo
2
2023
Bivariate random coefficient integer-valued autoregressive models: parameter estimation and change point test. Zbl 07731498
Lee, Sangyeol; Jo, Minyoung
2
2023
Exponential family QMLE-based CUSUM test for integer-valued time series. Zbl 07714133
Lee, Sangyeol; Lee, Sangjo
1
2023
Test for conditional quantile change in GARCH models. Zbl 07553098
Lee, Sangyeol; Kim, Chang Kyeom
1
2022
Risk measurement for conditionally heteroscedastic location-scale time series models with ASTD and AEPD innovations. Zbl 07546450
Kim, Minjo; Lee, Sangyeol
1
2022
Monitoring parameter change for time series models with application to location-scale heteroscedastic models. Zbl 07660120
Lee, Sangyeol; Kim, Chang Kyeom
1
2022
Modeling and inference for counts time series based on zero-inflated exponential family INGARCH models. Zbl 07497054
Lee, Sangyeol; Kim, Dongwon; Seok, Seongwoo
3
2021
Recent progress in parameter change test for integer-valued time series models. Zbl 1485.62124
Lee, Sangyeol; Kim, Byungsoo
2
2021
Symbolic interval-valued data analysis for time series based on auto-interval-regressive models. Zbl 1478.62259
Lin, Liang-Ching; Chien, Hsiang-Lin; Lee, Sangyeol
1
2021
Bayesian inference of nonlinear hysteretic integer-valued GARCH models for disease counts. Zbl 1505.62094
Chen, Cathy W. S.; Lee, Sangyeol; Khamthong, K.
1
2021
Robust estimation for general integer-valued time series models. Zbl 1466.62388
Kim, Byungsoo; Lee, Sangyeol
5
2020
Location and scale-based CUSUM test with application to autoregressive models. Zbl 07480208
Lee, Sangyeol
4
2020
Goodness-of-fit tests for parametric specifications of conditionally heteroscedastic models. Zbl 1458.62201
Jiménez-Gamero, M. Dolores; Lee, Sangyeol; Meintanis, Simos G.
2
2020
CUSUM test for general nonlinear integer-valued GARCH models: comparison study. Zbl 1431.62396
Lee, Youngmi; Lee, Sangyeol
16
2019
Modified residual CUSUM test for location-scale time series models with heteroscedasticity. Zbl 1431.62406
Oh, Haejune; Lee, Sangyeol
11
2019
Residual-based CUSUM of squares test for Poisson integer-valued GARCH models. Zbl 07193891
Lee, Sangyeol
4
2019
On causality test for time series of counts based on Poisson ingarch models with application to crime and temperature data. Zbl 07551093
Lee, Youngmi; Lee, Sangyeol
1
2019
Test for tail index constancy of GARCH innovations based on conditional volatility. Zbl 1432.62302
Kim, Moosup; Lee, Sangyeol
1
2019
Asymptotic normality and parameter change test for bivariate Poisson INGARCH models. Zbl 06852282
Lee, Youngmi; Lee, Sangyeol; Tjøstheim, Dag
13
2018
On score vector- and residual-based CUSUM tests in ARMA-GARCH models. Zbl 1427.62104
Oh, Haejune; Lee, Sangyeol
7
2018
Mildly explosive autoregression with mixing innovations. Zbl 1390.62182
Oh, Haejune; Lee, Sangyeol; Chan, Ngai Hang
3
2018
Bootstrap entropy test for general location-scale time series models with heteroscedasticity. Zbl 07192675
Kim, Minjo; Lee, Sangyeol
2
2018
Monitoring mean shift in INAR(1)s processes based on CLSE-CUSUM procedure. Zbl 1398.62234
Kim, Hanwool; Lee, Sangyeol
1
2018
On entropy goodness-of-fit test based on integrated distribution function. Zbl 07192667
Lee, Sangyeol; Park, Siyun; Kim, Byungsoo
1
2018
On first-order integer-valued autoregressive process with Katz family innovations. Zbl 07191955
Kim, Hanwool; Lee, Sangyeol
15
2017
Robust estimation for zero-inflated Poisson autoregressive models based on density power divergence. Zbl 07192106
Kim, Byungsoo; Lee, Sangyeol
8
2017
Monitoring parameter shift with Poisson integer-valued GARCH models. Zbl 07192028
Huh, Jaewon; Kim, Hanwool; Lee, Sangyeol
4
2017
On entropy-based goodness-of-fit test for asymmetric Student-\(t\) and exponential power distributions. Zbl 1492.62049
Lee, Sangyeol; Kim, Minjo
3
2017
On Fisher’s dispersion test for integer-valued autoregressive Poisson models with applications. Zbl 1380.37153
Lee, Sangyeol; Park, Siyun; Chen, Cathy W. S.
3
2017
Monitoring parameter change for time series models with conditional heteroscedasticity. Zbl 1396.62208
Huh, Jaewon; Oh, Haejune; Lee, Sangyeol
1
2017
Generalized Poisson autoregressive models for time series of counts. Zbl 1468.62037
Chen, Cathy W. S.; Lee, Sangyeol
23
2016
Parameter change test for zero-inflated generalized Poisson autoregressive models. Zbl 1359.62376
Lee, Sangyeol; Lee, Youngmi; Chen, Cathy W. S.
22
2016
Nonlinear expectile regression with application to value-at-risk and expected shortfall estimation. Zbl 1468.62101
Kim, Minjo; Lee, Sangyeol
19
2016
Quantile regression for location-scale time series models with conditional heteroscedasticity. Zbl 1468.62274
Noh, Jungsik; Lee, Sangyeol
8
2016
Parameter change test for autoregressive conditional duration models. Zbl 1359.62351
Lee, Sangyeol; Oh, Haejune
4
2016
Local non-stationarity test in mean for Markov switching GARCH models: an approximate Bayesian approach. Zbl 1342.65025
Chen, Cathy W. S.; Lee, Sangyeol; Chen, Shu-Yu
4
2016
Entropy-based goodness of fit test for a composite hypothesis. Zbl 1338.62088
Lee, Sangyeol
3
2016
On the tail index inference for heavy-tailed GARCH-type innovations. Zbl 1440.62332
Kim, Moosup; Lee, Sangyeol
2
2016
Goodness-of-fit test for the SVM based on noisy observations. Zbl 1359.62458
Lin, Liang-Ching; Lee, Sangyeol; Guo, Meihui
1
2016
A local unit root test in mean for financial time series. Zbl 1510.62354
Chen, Cathy W. S.; Lee, Sangyeol
1
2016
Parameter change test for nonlinear time series models with GARCH type errors. Zbl 1312.62109
Lee, Jiyeon; Lee, Sangyeol
10
2015
Maximum entropy test for GARCH models. Zbl 1486.62241
Lee, Jiyeon; Lee, Sangyeol; Park, Siyun
7
2015
Entropy test and residual empirical process for autoregressive conditional duration models. Zbl 1468.62116
Lee, Sangyeol; Oh, Haejune
2
2015
Copula parameter change test for nonlinear AR models with nonlinear GARCH errors. Zbl 1487.62109
Lee, Sangyeol; Kim, Byungsoo
1
2015
Parameter change test for Poisson autoregressive models. Zbl 1305.62313
Kang, Jiwon; Lee, Sangyeol
40
2014
Minimum density power divergence estimator for Poisson autoregressive models. Zbl 1506.62089
Kang, Jiwon; Lee, Sangyeol
17
2014
Goodness of fit test for discrete random variables. Zbl 1471.62108
Lee, Sangyeol
2
2014
Monitoring test for stability of copula parameter in time series. Zbl 1304.62115
Na, Okyoung; Lee, Jiyeon; Lee, Sangyeol
1
2014
Quantile regression estimator for GARCH models. Zbl 1259.62080
Lee, Sangyeol; Noh, Jungsik
14
2013
Robust estimation for the covariance matrix of multivariate time series based on normal mixtures. Zbl 1365.62343
Kim, Byungsoo; Lee, Sangyeol
9
2013
Goodness-of-fit test for stochastic volatility models. Zbl 1277.62125
Lin, Liang-Ching; Lee, Sangyeol; Guo, Meihui
6
2013
A maximum entropy type test of fit: composite hypothesis case. Zbl 1365.62155
Lee, Sangyeol
5
2013
Robust estimation for copula parameter in SCOMDY models. Zbl 1288.62047
Kim, Byungsoo; Lee, Sangyeol
5
2013
Minimum density power divergence estimator for diffusion processes. Zbl 1441.62219
Lee, Sangyeol; Song, Junmo
4
2013
Change point detection in SCOMDY models. Zbl 1443.62232
Na, Okyoung; Lee, Jiyeon; Lee, Sangyeol
3
2013
Maximum entropy test for autoregressive models. Zbl 1322.62220
Lee, Sangyeol; Park, Siyun
2
2013
On the maximum likelihood estimator for irregularly observed time series data from COGARCH(1,1) models. Zbl 1314.62197
Kim, Moosup; Lee, Sangyeol
1
2013
Change point detection in copula ARMA-GARCH models. Zbl 1281.62182
Na, Okyoung; Lee, Jiyeon; Lee, Sangyeol
9
2012
Inference for Box-Cox transformed threshold GARCH models with nuisance parameters. Zbl 1323.62085
Lee, Sangyeol; Lee, Taewook
5
2012
Change point test of tail index for autoregressive processes. Zbl 1296.62171
Kim, Moosup; Lee, Sangyeol
4
2012
Test for dispersion constancy in stochastic differential equation models. Zbl 06292441
Lee, Sangyeol; Guo, Meihui
3
2012
Quantile regression estimation for discretely observed SDE models with compound Poisson jumps. Zbl 1283.62070
Noh, Jungsik; Lee, Seung Y.; Lee, Sangyeol
2
2012
Monitoring parameter change in time series models. Zbl 1230.62119
Na, Okyoung; Lee, Youngmi; Lee, Sangyeol
17
2011
A maximum entropy type test of fit. Zbl 1464.62117
Lee, Sangyeol; Vonta, Ilia; Karagrigoriou, Alex
17
2011
Robust estimation for the covariance matrix of multi-variate time series. Zbl 1294.62205
Kim, Byungsoo; Lee, Sangyeol
7
2011
Change point test for tail index for dependent data. Zbl 1226.62080
Kim, Moosup; Lee, Sangyeol
6
2011
Change point test for dispersion parameter based on discretely observed sample from SDE models. Zbl 1219.62124
Lee, Sangyeol
6
2011
Value-at-risk forecasting based on Gaussian mixture ARMA-GARCH model. Zbl 1432.62306
Lee, Sangyeol; Lee, Taewook
4
2011
Constancy test for FARIMA long memory processes. Zbl 1296.62174
Lee, Jiyeon; Na, Okyoung; Lee, Sangyeol
1
2011
Normality test for multivariate conditional heteroskedastic dynamic regression models. Zbl 1211.62154
Lee, Sangyeol; Ng, Chi Tim
1
2011
A divergence test for autoregressive time series models. Zbl 1219.62138
Lee, S.; Karagrigoriou, A.
1
2011
A note on the Jarque-Bera normality test for GARCH innovations. Zbl 1293.62194
Lee, Sangyeol; Park, Siyun; Lee, Taewook
7
2010
Trimmed portmanteau test for linear processes with infinite variance. Zbl 1181.62138
Lee, Sangyeol; Ng, Chi Tim
6
2010
Posterior consistency of species sampling priors. Zbl 1187.62055
Jang, Gun Ho; Lee, Jaeyong; Lee, Sangyeol
6
2010
Monitoring parameter changes for random coefficient autoregressive models. Zbl 1294.62210
Na, Okyoung; Lee, Jiyeon; Lee, Sangyeol
4
2010
On the goodness of fit test for discretely observed sample from diffusion processes: divergence measure approach. Zbl 1201.62097
Lee, Sangyeol
3
2010
Robust estimation for order of hidden Markov models based on density power divergences. Zbl 1432.62280
Lee, Sangyeol; Lee, Taewook
2
2010
Jarque-Bera normality test for the driving Lévy process of a discretely observed univariate SDE. Zbl 1209.62197
Lee, Sangyeol; Masuda, Hiroki
1
2010
Parameter change test for random coefficient integer-valued autoregressive processes with application to polio data analysis. Zbl 1221.62126
Kang, Jiwon; Lee, Sangyeol
29
2009
A model selection criterion based on the BHHJ measure of divergence. Zbl 1149.62002
Mattheou, K.; Lee, S.; Karagrigoriou, A.
19
2009
Normal mixture quasi-maximum likelihood estimator for GARCH models. Zbl 1198.62101
Lee, Taewook; Lee, Sangyeol
13
2009
Minimum density power divergence estimator for GARCH models. Zbl 1203.62158
Lee, Sangyeol; Song, Junmo
11
2009
Test for tail index change in stationary time series with Pareto-type marginal distribution. Zbl 1200.62054
Kim, Moosup; Lee, Sangyeol
10
2009
Test for parameter change in discretely observed diffusion processes. Zbl 1205.62116
Song, Junmo; Lee, Sangyeol
10
2009
Monitoring distributional changes in autoregressive models. Zbl 1175.62095
Lee, Sangyeol; Lee, Youngmi; Na, Okyoung
8
2009
The monitoring test for the stability of regression models with nonstationary regressors. Zbl 1181.62139
Lee, Sangyeol; Park, Siyun
2
2009
Consistency of minimizing a penalized density power divergence estimator for mixing distribution. Zbl 1309.62061
Lee, Taewook; Lee, Sangyeol
1
2009
Estimation of a tail index based on minimum density power divergence. Zbl 1151.62321
Kim, Moosup; Lee, Sangyeol
13
2008
Test for parameter change in ARMA models with GARCH innovations. Zbl 1147.62074
Lee, Sangyeol; Song, Junmo
11
2008
Residual empirical process for diffusion processes. Zbl 1140.60337
Lee, Sangyeol; Wee, In-Suk
8
2008
The CUSUM of squares test for the stability of regression models with non-stationary regressors. Zbl 1255.62269
Lu, Xinhong; Maekawa, Koichi; Lee, Sangyeol
2
2008
Jump diffusion model with application to the Japanese stock market. Zbl 1216.91040
Maekawa, Koichi; Lee, Sangyeol; Morimoto, Takayuki; Kawai, Ken-ichi
2
2008
Large bandwidth asymptotics for Nadaraya-Watson auto-regression estimator. Zbl 1293.62192
Kim, Tae Yoon; Moon, Myung Sang; Lee, Sangyeol
1
2008
Robust estimation for the order of finite mixture models. Zbl 1247.62067
Lee, Sangyeol; Lee, Taewook
1
2008
Moving estimates test with time varying bandwidth. Zbl 1116.62097
Na, Okyoung; Lee, Sangyeol
1
2007
Diagnostic test for unstable autoregressive models. Zbl 1116.62095
Lee, Sangyeol; Kim, Eunhee; Kim, Youngjin
1
2007
Test for parameter change in linear processes based on Whittle’s estimator. Zbl 1124.62060
Lee, Taewook; Lee, Sangyeol
1
2007
Test for parameter change in diffusion processes by CUSUM statistics based on one-step estimators. Zbl 1095.62100
Lee, Sangyeol; Nishiyama, Yoichi; Yoshida, Nakahiro
19
2006
The Bickel–Rosenblatt test for diffusion processes. Zbl 1095.62099
Lee, Sangyeol
4
2006
Fixed-width confidence interval based on a minimum Hellinger distance estimator. Zbl 1099.62091
Lee, Sangyeol; Sriram, T. N.; Wei, Xinyu
2
2006
...and 39 more Documents
all top 5

Cited by 715 Authors

107 Lee, Sangyeol
17 Wang, Dehui
16 Karagrigoriou, Alexandros
14 Song, Junmo
13 Yang, Kai
12 Kim, Byungsoo
12 Na, Okyoung
12 Tian, Zheng
10 Kang, Jiwon
10 Meintanis, Simos G.
9 Horváth, Lajos
9 Lee, Taewook
9 Sriram, T. N.
9 Zhu, Fukang
8 Kengne, William Charky
7 Chen, Cathy W. S.
7 Chen, Zhanshou
7 Ghosh, Abhik
7 Kim, Moosup
7 Konev, Victor
7 Vonta, Filia
6 Francq, Christian
6 Goegebeur, Yuri
6 Guillou, Armelle
6 Hušková, Marie
6 Jin, Hao
6 Lee, Jiyeon
6 Lee, Youngmi
6 Li, Qi
6 Na, Seongryong
6 Park, Siyun
5 Basu, Ayanendranath
5 Cheng, Fuxia
5 González-Manteiga, Wenceslao
5 Guo, Meihui
5 Li, Fuxiao
5 Li, Han
5 Mattheou, Kyriacos
5 Nishiyama, Yoichi
5 Oh, Haejune
5 Qi, Peiyan
5 Wied, Dominik
5 Zhang, Jinsuo
4 Altun, Emrah
4 Bouzebda, Salim
4 Chen, Huaping
4 Cui, Yunwei
4 Fokianos, Konstantinos
4 Fried, Roland
4 Ha, Jeongcheol
4 Hwang, Eunju
4 Iacus, Stefano Maria
4 Jiménez-Gamero, María Dolores
4 Jo, Minyoung
4 Kim, Dongwon
4 Kim, Minjo
4 Koul, Hira Lal
4 Lin, Liang-Ching
4 Nielsen, Bent
4 Weiß, Christian H.
4 Wu, Rongning
4 Yang, Wenzhi
4 Zakoïan, Jean-Michel
4 Zhao, Zhiwen
3 De Gregorio, Alessandro
3 Dehling, Herold G.
3 Diop, Mamadou Lamine
3 Fakhre-Zakeri, Issa
3 Galtchouk, Leonid I.
3 Ghoudi, Kilani
3 Gombay, Edit
3 Gonçalves, Esmeralda
3 Hlávka, Zdeněk
3 Ing, Ching-Kang
3 Kim, Chang Kyeom
3 Kim, Hanwool
3 Kim, Taeyoon
3 Kirch, Claudia
3 Maekawa, Koichi
3 Mantalos, Panagiotis
3 Masuda, Hiroki
3 Mendes Lopes, Nazaré
3 Mitra, Murari
3 Nagakura, Daisuke
3 Negri, Ilia
3 Noh, Jungsik
3 Noughabi, Hadi Alizadeh
3 Paternostro, Mauro
3 Psaradakis, Zacharias
3 Rezakhah, Saeid
3 Sajjadipanah, Soudabe
3 Shin, Dongwan
3 Steland, Ansgar
3 Taniguchi, Masanobu
3 Vávra, Marián
3 Vidyashankar, Anand N.
3 Yu, Shuhui
3 Zhang, Si
3 Zhang, Yi
3 Zhang, Yong
...and 615 more Authors
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Cited in 109 Serials

37 Journal of Statistical Computation and Simulation
34 Statistics & Probability Letters
33 Communications in Statistics. Theory and Methods
27 Communications in Statistics. Simulation and Computation
23 Journal of Statistical Planning and Inference
23 Computational Statistics and Data Analysis
21 Annals of the Institute of Statistical Mathematics
19 Journal of Time Series Analysis
19 Journal of the Korean Statistical Society
16 Test
15 Journal of Multivariate Analysis
15 Sequential Analysis
14 Journal of Econometrics
14 Statistical Papers
12 Metrika
12 Econometric Theory
11 Journal of Applied Statistics
10 The Annals of Statistics
9 Statistics
8 Journal of Nonparametric Statistics
7 Journal of the American Statistical Association
7 Economics Letters
7 Computational Statistics
7 Statistical Inference for Stochastic Processes
7 Statistical Methods and Applications
6 Scandinavian Journal of Statistics
6 Journal of Computational and Applied Mathematics
6 Stochastic Processes and their Applications
6 Bernoulli
5 Statistical Methodology
5 Electronic Journal of Statistics
4 Mathematics and Computers in Simulation
4 Statistica Sinica
4 Journal of Inequalities and Applications
4 Methodology and Computing in Applied Probability
4 AStA. Advances in Statistical Analysis
4 Science China. Mathematics
4 Sankhyā. Series A
3 International Journal of Theoretical Physics
3 Econometric Reviews
3 Applied Mathematical Modelling
3 Probability in the Engineering and Informational Sciences
3 Statistical Modelling
3 International Journal of Quantum Information
3 Journal of Statistical Theory and Practice
2 Journal of Applied Probability
2 Mathematical Methods of Statistics
2 Mathematical Problems in Engineering
2 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics
2 Studies in Nonlinear Dynamics and Econometrics
2 The Econometrics Journal
2 Journal of Modern Optics
2 Journal of Systems Science and Complexity
2 Quantum Information Processing
2 ISRN Probability and Statistics
1 The Canadian Journal of Statistics
1 Lithuanian Mathematical Journal
1 Chaos, Solitons and Fractals
1 Biometrical Journal
1 International Statistical Review
1 Mathematica Slovaca
1 Stochastic Analysis and Applications
1 Probability Theory and Related Fields
1 Statistical Science
1 Journal of Economic Dynamics & Control
1 Journal of Theoretical Probability
1 Mathematical and Computer Modelling
1 Science in China. Series A
1 Neural Networks
1 Annals of Operations Research
1 Machine Learning
1 Economic Quality Control
1 European Journal of Operational Research
1 International Journal of Computer Mathematics
1 International Journal of Bifurcation and Chaos in Applied Sciences and Engineering
1 Applied Mathematics. Series B (English Edition)
1 Filomat
1 Monte Carlo Methods and Applications
1 Lifetime Data Analysis
1 Australian & New Zealand Journal of Statistics
1 Far East Journal of Applied Mathematics
1 Far East Journal of Theoretical Statistics
1 Journal of High Energy Physics
1 Lobachevskii Journal of Mathematics
1 Applied Stochastic Models in Business and Industry
1 Brazilian Journal of Probability and Statistics
1 Quantitative Finance
1 Advances and Applications in Statistics
1 Journal of Machine Learning Research (JMLR)
1 Comptes Rendus. Mathématique. Académie des Sciences, Paris
1 Journal of Applied Mathematics and Computing
1 Hacettepe Journal of Mathematics and Statistics
1 Asia-Pacific Financial Markets
1 SORT. Statistics and Operations Research Transactions
1 Journal of Statistical Mechanics: Theory and Experiment
1 Stochastics
1 Advances in Data Analysis and Classification. ADAC
1 The Annals of Applied Statistics
1 International Journal of Biomathematics
1 São Paulo Journal of Mathematical Sciences
...and 9 more Serials

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