High-dimensional dependent data, Extreme value theory, Financial econometrics, High-frequency data analysis, Linear and nonlinear time series models, Markov chain Monte Carlo methods, Risk management, and Machine learning.
Selected Recent Papers
(a) Independent component analysis via distance covariance (with D. Matteson).
Journal of the American Statistical Association (2017), 112, 623-637.
(b) Modeling structured correlation matrices (with M. Pourahmadi)
Biometrika (2017), 104, 237-242.
(c) Clustering multiple time series with structural breaks (with Y. Wang).
Journal of Time Series Analysis (2019), to appear. (available on JTSA web)
(d) High-dimensional linear regression for dependent data with applications to now-casting (with Y. Han).
Statistica Sinica (2019), to appear. (available on Statistica Sinica web)
(e) Time evolution of income distribution with subgroup decompositions (with Y.T. Chen).
Econometric Reviews (2019+), to appear.
(f) Constrained factor models for high-dimensional matrix-variate time series (with Y. Chen and R. Chen).
Journal of the American Statistical Association (2019+), to appear.
(g) Spato-temporal models with space-time interaction and their applications to air pollution data (with S. Deb).
Statistica Sinica (2019+), to appear.
(h) Empirical dynamical quantiles for visualization of high-dimensional time series (with D. Pena and R. Zamar).
Technometrics (2019+), to appear.