Publications

Our Faculty members are frequent contributors to world-renowned journals and serve on editorial boards of top IS, OM and Statistics academic journals.

Show Filter
Business Statistics

Inference for changing periodicity, smooth trend and covariate effects in time series

Cheng, M., Siegmund, D., Wang, S., Wang, H., Xia, L.
Journal of the Royal Statistical Society, Series B, Reject with resubmission (2025)
Business Statistics

On Hysteretic Vector Autoregressive Model with Applications

Chen, Cathy W. S.; Hong, Than-Thi; So, Mike Ka Pui
JOURNAL OF STATISTICAL COMPUTATION AND SIMULATION, v. 89, (2), 2019, p. 191-210
Business Statistics

A Simulation Smoother for Long Memory Time Series with Correlated and Heteroskedastic Additive Noise

Asai, Manabu; So, Mike Ka Pui
Communications in Statistics: Simulation and Computation, v. 50, (2), 2021, p. 388-399
Business Statistics

Autoregressive Conditional Negative Binomial Model Applied to Over-Dispersed Time Series of Counts

Chen, Cathy W.S.; So, Mike Ka Pui; Li, Jessica C.; Sriboonchitta, Songsak
Statistical Methodology, v. 31, 2016, p. 73-90
Business Statistics

Model Selection of a Switching Mechanism for Financial Time Series

Truong, Buu-Chau; Chen, Cathy W.S.; So, Mike Ka Pui
Applied Stochastic Models in Business and Industry, v. 32, (6), 2016, p. 836-851
Business Statistics

Statistical Inference for Conditional Quantiles in Nonlinear Time Series Models

So, Mike Ka Pui; Chung, Siu Wa
Journal of Econometrics, v. 189, (2), 2015, p. 457-472
Business Statistics

Bayesian Analysis of Tail Asymmetry Based on a Threshold Extreme Value Model

So, Mike Ka Pui; Chan, Raymond Ka Shing
Computational Statistics and Data Analysis, v. 71, 2014, p. 568-587
Business Statistics

Dynamic Seasonality in Time Series

So, Mike Ka Pui; Chung, Siu Wa
Computational statistics & data analysis, v. 70, 2014, p. 212-226
Business Statistics

A Monte Carlo Markov chain algorithm for a class of mixture time series models

Lau, John W.; So, Mike Ka Pui
Statistics and computing, v. 21, (1), 2011, p. 69-81
Business Statistics

A Review of Threshold Time Series Models in Finance

Chen, Cathy W.S.; So, Mike Ka Pui; Liu, Feng-Chi
Statistics and Its Interface, v. 4, (2), 2011, p. 167-181