CHAN, Ngai Hang 陳毅恆

Position Emeritus Professor
Email ngaihangchan [at]
ORCiD 0000-0002-4755-5180
Phone Number 3943 8519
Fax Number 2603 5188
Address LSB G18B

Academic Background

B.Sc. (CUHK)

Ph.D. (University of Maryland College Park)

Research Interest

Selected Publication

  • Huang, Z. and Chan, N.H. (2020). Walsh-Fourier transform of locally stationary time series. Journal of Time Series Analysis 41, 312-340.
  • Chan, N.H., Cheung, S.K.C. and Wong, S.P.S. (2020). Inference for the degree distributions of preferential attachment networks with zero-degree nodes. Journal of Econometrics 216, 220-234.
  • Chan, N.H. and Palma, W. (2020). On the estimation of locally stationary long-memory processes. Statistica Sinica 30, 111-134.
  •  Chan, N.H., Ling, S.Q. and Yau, C.Y. (2020). Lasso-based variable selection of ARMA models. Statistica Sinica 30, 1925-1948.
  • Chen, K., Chan, N.H. and Yau, C.Y. (2020). Bartlett correction of frequency domain empirical likelihood for time series with unknown innovation variance. Annals of Institute of Statistical Mathematics 72, 1159-1173.
  • Ng, C.T., Shi, Y. and Chan, N.H. (2020). Markowitz portfolio and the blur of history. International Journal of Theoretical and Applied Finance 23, 2050030-1-2050030-19.
  • Chan, N.H., Ng, W.L. and Yau, C.Y. (2021). A self-normalized approach to sequential change-point detection for time series. Statistica Sinica 31, 491-517.
  • Li, Y., Chan, N.H., Yau, C.Y. and Zhang, R.M. (2021). Group orthogonal greedy algorithm for change-point estimation of multivariate time series. Journal of Statistical Planning and Inference 212, 14-33.
  • Chan, N.H., Ng, W.L., Yau, C.Y. and Yu, H. (2021). Optimal change-point estimation in time series. Ann. Statist. 49, 2366-2355.
  • Zhang, R.M. and Chan, N.H. (2021). Nonstationary linear processes with in finite variance GARCH errors. Econometric Theory 37, 892-925.
  • Chan, N.H., Zhang, R.M. and Yau, C.Y. (2022). Inference for structural breaks in spatial models. Statistica Sinica 31, in press.
  • Chan, N.H. and Zhang, R.M. (2022). Cointegration rank estimation for high-dimensional time series with breaks. Statistica Sinica 32, in press.
  • Chan, N.H., Gao, L. and Palma, W. (2022). Simultaneous variable selection and structural identification for time-varying coefficient models. Journal of Time Series Analysis 43, in press.
  • Huang, H.H., Chan, N.H., Chen, K. and Ing, C.K. (2022). Consistent order selection for ARFIMA processes. Ann. Statist. 50, in press.


Professional Services

  • Managing Editor, International Journal of Theoretical and Applied Finance
  • Co-Editor, Journal of Time Series Analysis
  • Co-Editor, Journal of Forecasting
  • Associate Editor, Journal of the American Statistical Association
  • Associate Editor, Statistica Sinica
  • Associate Editor, Electronic Journal of Statistics
  • Associate Editor, Sankhya


  • 2021-2022 Term 1: RMSC 4003, RMSC 5101. STAT6040
  • 2019-2020 Term 2: RMSC 5102

Honours and Awards

  • Fellow, Institute of Mathematical Statistics
  • Fellow, American Statistical Association
  • Exemplary Honorary Member, Hong Kong Statistical Society
  • Elected Member, International Statistical Institute
  • Multa Scripsit Award, Econometric Theory, Cambridge University Press
  • Distinguished Author Award, Journal of Time Series Analysis, John Wiley and Sons
  • Chang Jiang Chair Professor of Statistics, Renmin University of China, Ministry of Education, Beijing, China

Research Grants

  • Safety, Reliability, and Disruption Management of High Speed Rail and Metro Systems. Research
    Grants Council of Hong Kong: Theme-Based Research Fund, 2016-2021. T32-101/15-R, Co-
    Principal Investigator
  • Nearly Nonstationary Time Series: A Prediction Perspective. Research Grants Council of Hong
    Kong: General Research Fund, 2017-2020. RGC14325216. Principal Investigator
  • Inference for Multiple Change-Points in High-Dimensional Time Series. Research Grants Council
    of Hong Kong: General Research Fund, 2019-2022. RGC14308218. Principal Investigator
  • Statistical Modeling of Big Data Networks. Research Grants Council of Hong Kong: General Research Fund, 2022-2025. RGC14307921. Principal Investigator
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