Research Interests:

• High Dimensional/Big Data Analysis
• Financial Data Analysis
• Nonparametric Modelling
• Nonlinear Time Series
• Survival Analysis
• Functional Data Analysis
• Spatial Data Analysis
• Multi-level Modelling
• Structural Equation Models

Professional Services:

• Associate Editor, Journal of the American Statistical Association, January 2008 -- January 2017.

• Associate Editor, Journal of Business & Economic Statistics, October 2018 --

• Associate Editor, The Annals of Statistics, January 2022 --

Selected Publications:

• Statistical estimation in varying-coefficient models, (with Fan, J.). The Annals of Statistics, 27 (1999), no. 5, 1491-1518.

• Smoothing for discrete-valued time series, (with Cai, Z. and Yao, Q.). Journal of the Royal Statistical Society, Series B, 63 (2001), no. 2, 357-375.

• Approximate Bayesian computation in population genetics, (with Balding, D. J. and Beaumont, M. A.). Genetics, 162 (2002), no. 4, 2025-2035.

• Generalized likelihood ratio tests for spectral density, (with Fan, J.). Biometrika, 91 (2004), no. 1, 195-209.

• Efficient estimation for semivarying-coefficient models, (with Xia, Y. and Tong, H.). Biometrika, 91 (2004), no. 3, 661-681.

• Estimation of the covariance matrix of random effects in longitudinal studies, (with Sun, Y. and Tong, H.). The Annals of Statistics. 35 (2007), no. 6, 2795-2814.

• A semiparametric model for cluster data, (with Fan, J. and Sun, Y.). The Annals of Statistics . 37 (2009), no. 5A, 2377-2408.

• Statistical estimation in generalized multiparameter likelihood models, (with Cheng, M. and Chen, L.). Journal of the American Statistical Association , 104 (2009), no. 487, 1179-1191.

• A semiparametric threshold model for censored longitudinal data analysis, (with Li, J.). Journal of the American Statistical Association , 106 (2011), no. 494, 685-696.

• A semiparametric spatial dynamic model, (with Sun, Y., Yan, H. and Lu, Z.). The Annals of Statistics , 42 (2014), no. 2, 700-727.

• Model selection and structure specification in ultra-high dimensional generalised semi-varying coefficient models, (with Li, D. and Ke, Y.). The Annals of Statistics , 43 (2015), no. 6, 2676-2705.

• Structure identification in panel data analysis, (with Ke, Y. and Li, J.). The Annals of Statistics , 44 (2016), no. 3, 1193-1233.

• A dynamic structure for high dimensional covariance matrices and its application in portfolio allocation, (with Guo, S. and Box, J.). Journal of the American Statistical Association , 112 (2017), no. 517, 235-253.

• Estimation of low rank high dimensional multivariate linear models for multi-response data, (with Zou, C., and Ke, Y.). Journal of the American Statistical Association , to appear.

Recent Preprints:

• A flexible and parsimonious modelling strategy for clustered data analysis, (with Huang, T., Pei, Y. and You, J.).

• A data driven approach for grouping of parameters in clustered data analysis when cluster sizes are small, (with Sun, Y., Tan, L. and Zhu, Z.).

• Model averaging based semiparametric modelling for conditional quantile prediction, (with Guo, C.).

• A class of semiparametric models with homogeneous structure for panel data analysis, (with Huang, T., Pei, Y. and You, J.).

• Globally scalable quantile regression with large or online data, (with Fang, Y., Xu, J. and Zhao, N.).

• A class of structured high dimensional dynamic covariance matrices, (with Yang, J. and Lian, H.).

Courses Taught:

I am interested in taking on PhD students to work on High Dimensional/Big Data Analysis, Financial Data Analysis, Nonparametric Modelling, Nonlinear Time Series, Survival Analysis, Functional Data Analysis, Spatial Data Analysis, Multi-level Modelling, Structural Equation Models.

Picture:

• New Century

• Annual Photo