Faculty
YAU, Chun Yip
Name YAU, Chun Yip邱俊業
Title Director, Risk Management Science Program
Position Associate Professor
Email cyyau [at] sta.cuhk.edu.hk
Phone Number 3943 7942
Fax Number 2603 5188
Address LSB 110
Homepage http://www.sta.cuhk.edu.hk/cyyau/
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Academic Background

B.Sc. (HKU) 2004

M.Phil. (CUHK) 2006

Ph.D. (Columbia) 2010
Research Interest
Time Series
Change-Point Analysis
Composite Likelihood Inference
Spatial Statistics
Environmental Statistics
Selected Publications
  1. Kwate, N.O., Yau, C.Y., Loh J.M., & Williams D. (2009). Inequality in obesigenic environments: fast food density in New York City, Health Place 15 (1), 364-73.
    --- Reprinted in Taking Food Public: Redfining Foodways in a Changing World. (2011). Editor: P.W. Forson, C. Counihan. Routledge, New York.
  2. Davis, R.A. & Yau, C.Y. (2011). Comments on pairwise likelihood in time series models. Statistica Sinica, 21(1), 255-278.
  3. Yau, C.Y. (2012). Empirical likelihood in long-memory time series models. Journal of Time Series Analysis, 33(2), 269-275.
  4. Loh, J.M. & Yau, C.Y. (2012). A generalization of Neyman-Scott process. Statistica Sinica, 22(4), 1717-1736.
  5. Davis, R.A. & Yau, C.Y. (2012). Likelihood Inference for discriminating between long-range dependence and change-point models. Journal of Time Series Analysis, 33(4), 649-664.
  6. Davis, R.A. & Yau, C.Y. (2013). Consistency of minimum description length model selection for piecewise stationary times series models. Electronic Journal of Statistics, 7, 381-411.
  7. Chan, N.H., Yau, C.Y. & Zhang, R.M. (2014). Group LASSO for structural break time series. Journal of the American Statistical Association, 109, 590-599.
  8. Yau, C.Y. (2014). Discussion on "Multiscale change point inference" by Frick, K., Munk, A. and Sieling, H. Journal of the Royal Statistical Society - Series B. 76, 565-566.
  9. Chan, N.H., Li, Z. & Yau, C.Y. (2014). Forecasting online auctions via self‐ exciting point processes. Journal of Forecasting, 33(7), 501-514.
  10. Chan, N.H., Chen, K. & Yau, C.Y. (2014). On the Bartlett correction of empirical likelihood in Gaussian long-memory time series. Electronic Journal of Statistics, 8, 1460-1490.
  11. Chan, N.H., Ng, C.T. & Yau, C.Y. (2014). Likelihood inferences for high dimensional dynamic factor analysis with applications in finance. Journal of Computational and Graphical Statistics, 24(3), 866-884.
  12. Chan, N.H., Yau, C.Y. & Zhang, R.M. (2014). LASSO estimation of threshold autoregressive models. Journal of Econometrics, 189(2), 285–296.
  13. Lee, T.C.M., Tang, C.M. & Yau, C.Y. (2015). Estimation of multiple-regime threshold autoregressive models with structural breaks. Journal of the American Statistical Association, 110, 1175-1186.
  14. Chan, K.W. & Yau, C.Y. (2016). New recursive estimators of the time-average variance constant. Statistics and Computing, 26, 609-627.
  15. Ma, T.F. & Yau, C.Y. (2016). A pairwise likelihood-based approach for change- point detection in multivariate time series models. Biometrika, 103(2), 409-421.
  16. Wu, C., Wang, M.H., Lu, X., Chong, K.C., He, J., Yau, C.Y., Hui, M., Cheng, X, Yang, L., Zee, B.C.Y., Zhang R., He, M.L. (2016) Concurrent epidemics of influenza A/H3N2 and A/H1N1pdm in Southern China: A serial cross-sectional study. Journal of Infection, 72, 369-376.
  17. Yau, C.Y. & Zhao Z. (2016). Inference for multiple change-points in time series via likelihood ratio scan statistics. Journal of the Royal Statistical Society - Series B, 78(4), 895-916.
  18. Chan, N.H., Wang, M. & Yau, C.Y. (2016). Nonlinear Error Correction Model and Multiple-threshold Cointegration. Statistica Sinica, 26(4), 1479--1499.
  19. Chan, N.H., Chen, K. & Yau, C.Y. (2016). Bartlett correction of empirical likelihood for non-Gaussian short memory time series. Journal of Time Series Analysis, 37(5), 624--649.
  20. Chan, N.H., Ing, C.K., Li, Y. & Yau, C.Y. (2017) Threshold Estimation via Group Orthogonal Greedy Algorithm. Journal of Business and Economic Statistics, 35(2), 334--345.
  21. Leung, S.H., Ng, W.L. & Yau, C.Y. (2017). Sequential change-point detection in time series models based on pairwise likelihood. Statistica Sinica, 27(2), 575--606.
  22. Ng, C.T. & Yau, C.Y. (2017). Selection of change-point models with Bayesian information criterion. Statistics and its interface, 10(2), 343--353.
  23. Hui, T.S. and Yau, C.Y. (2017) LARS-type algorithm for Group Lasso Estimation. Statistics and computing, 27(4), 1041--1048.
  24. Chan, N.H., Lu, Y. & Yau. C.Y. (2017). Factor Modeling for High-dimensional Time Series: Inference and Model Selection. Journal of Time Series Analysis, 38(2), 285–-307.
  25. Chan, K.W. & Yau, C.Y. (2017). Automatic Optimal Batch Size Selection for Recursive Estimators of Time-average Covariance Matrix. Journal of the American Statistical Association, 112, 1076--1089.
  26. Chan, K.W. & Yau, C.Y. (2017). High order corrected estimator of time-average variance constant. Scandinavian Journal of Statistics, 44, 866--898.
  27. Gao, Q, Lee, T.C.M. & Yau, C.Y. (2017). Nonparametric Modeling and Break Point Detection for Time Series Signal of Counts. Signal Processing, 138, 307–-312.
  28. Ng, W.L. & Yau, C.Y. (2018). Test for existence of finite moments via bootstrap. Journal of Nonparametric Statistics, 30(1), 28--48.
  29. Ng, W.L, Yau, C.Y. & Yip, T.C.F. (2017+) A Hidden Markov Model for Earthquake Prediction (To appear in Stochastic Environmental Research and Risk Assessment)
  30. Ng, W.L, Pan, S., Yau, C.Y.(2018+) Bootstrap Inference for Multiple Change-points in Time Series. (Submitted)
  31. Yau, C.Y., Zhu, Z, Loh, J.M. & Lai, S.Y. (2018+) Spatial Sampling Design using Generalized Neyman-Scott Process. (Submitted)
  32. Chen, K, Chan, N.H., Yau, C.Y. (2018+) Bartlett Correction of Empirical Likelihood with Unknown Variance. (Submitted)
  33. Chen, K, Chan, N.H. & Yau, C.Y. (2018+) On Bartlett Correction of Empirical Likelihood for Regularly Spaced Spatial Data (Submitted)
  34. Yau, C.Y. & Zheng, X (2018+) Generalized Threshold Model (Submitted)
  35. Chan, N.H, Ng, W.L, Yau, C.Y. & Yu, H (2017+) Optimal Estimation of Change-Point in Time Series (Submitted)
  36. Chan, N.H., Ling, S.Q., & Yau, C.Y. (2018+) Lasso-based Variable Selection of ARMA Models (Submitted)
  37. Chan, L.H, Chen, K., Li, C., Wong, C.W., Yau, C.Y. (2018+) On estimation of higher order moment and cumulant (Submitted)
  38. Chan, N.H., Chen, K., Huang, R. & Yau, C.Y. (2018+) Subgroup Analysis of Zero-Inflated Poisson Regression Model with Applications to Insurance Data (Submitted)
  39. Chen, X., Ng, W.L. & Yau, C.Y. (2018+) Frequency domain bootstrap methods for spatial lattice data (Submitted)

Teaching

RMSC4005 Stochastic Calculus for Finance and Risk
STAT 3008 Applied Regression Analysis
STAT6104 Financial Time Series

RMSC Program Orientation 2018 (pdf)
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