YAU, Chun Yip 邱俊業

Position Professor
Email cy.yau [at] cuhk.edu.hk
ORCiD 0000-0002-4628-8324
Phone Number 3943 7942
Fax Number 2603 5188
Address LSB 110
Homepage https://www.sta.cuhk.edu.hk/cyyau/

Academic Background

B.Sc. (HKU) 2004

M.Phil. (CUHK) 2006

Ph.D. (Columbia) 2010

Research Interest

Change-Point AnalysisEnvironmental StatisticsSpatial StatisticsTime Series

Selected Publication

  • 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.
  • Chan, N.H., Yau, C.Y. & Zhang, R.M. (2014).  LASSO estimation of threshold autoregressive models. Journal of Econometrics, 189(2), 285–296.
  • 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.
  • 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.
  • 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.
  • 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.
  • Chan, N.H., Ng, W.L, Yau, C.Y., Yu, H. (2021) Optimal Change-point Estimation in Time Series. Annals of Statistics, 49(4) 2336-2355.
  • Zhao, Z., Ma, T. F., Ng, W. L., & Yau, C. Y. (2024). A Composite Likelihood-Based Approach for Change-Point Detection in Spatio-Temporal Processes. Journal of the American Statistical Association, 119, 3086–3100.
  • Chan, K.W. & Yau, C.Y. (2024). Asymptotically Constant Risk Estimator of Time-average Variance Constants. Biometrika, 111(3), 825–842.
  • Yuan, G. & Yau, C.Y. (2026) Generalized multivariate threshold autoregressive models with linearly partitioned threshold space. Annals of Statistics, 54(4), 2005–2030. 

Please refer to here for full publication list.

Honors and Awards

  • Faculty Exemplary Teaching Award, 2012, 2024

Major Research/Teaching Grants

Research

  1. Principal Investigator, Change-Point Estimation in Complicated Stochastic Systems
    (Research Grants Council – General Research Fund) 1/8/2012 – 31/7/2015, HK$ 624,000.
  2. Principal Investigator, Efficient Estimations in Multiple-regime Threshold Models
    (Research Grants Council – General Research Fund) 1/8/2013 – 31/7/2016, HK$ 660,000.
  3. Principal Investigator, Inference for Multiple Change-points in Time Series
    (Research Grants Council – General Research Fund) 1/1/2016 – 31/12/2018, HK$ 451,255.
  4. Principal Investigator, Locally Asymptotic Minimax Estimator of Long-run Covariance Matrix
    (Research Grants Council – General Research Fund) 1/8/2017 – 31/7/2020, HK$ 472,351.
  5. Principal Investigator, Predicting Future Change-points in Time Series
    (Research Grants Council – General Research Fund) 1/1/2020 – 31/12/2022, HK$ 753,667.
  6. Principal Investigator, Threshold Modeling in Functional Time Series
    (Research Grants Council – General Research Fund) 1/1/2022 – 31/12/2024, HK$ 598,015.
  7. Principal Investigator, Estimation of vector threshold models with multivariate thresholds
    (Research Grants Council – General Research Fund) 1/1/2023 – 31/12/2026, HK$ 803,222.
  8. Principal Investigator, Asymptotic and Bootstrap Inference for Change-points in Time Series Under Various Break Sizes
    (Research Grants Council – General Research Fund) 1/1/2025 – 31/12/2028, HK$ 890,587.

Teaching

  • Principal Investigator, Interactive Self-Learning Exercises
    (CUHK NRBG-Courseware Development Grant, Ref: 4621272). 1/1/2012 – 31/12/2012. HK$ 43,000.
  • Investigator, Establishment of New Paradigm with Feasible Models in Teaching and Learning Science for Problem Solving and Future Development
    (University Grants Councils – Focused Innovations Scheme – Scheme C, Ref: CUHK5/T&L/12-15). 01/07/2014 – 30/09/2017. HK$ 2,637,000.
  • Principal Investigator, Nurturing Future Risk Managers and Actuaries: An AI-powered Journey for Gifted Secondary Students. Gifted Education Fund: Off-school Advanced Learning Programme (OSALP, Ref: 2025-04). 

 

Professional Activities

1/2013 – present
Associate Editor, Journal of Time Series Analysis
9/2024 – present
Associate Editor, Journal of the American Statistical Association

Teaching