Edit Profile (opens in new tab) Lee, Sangyeol Co-Author Distance Author ID: lee.sangyeol Published as: Lee, Sangyeol; Lee, S.; Lee, Sang Yeol more...less Documents Indexed: 165 Publications since 1992 Co-Authors: 68 Co-Authors with 147 Joint Publications 884 Co-Co-Authors all top 5 Co-Authors 18 single-authored 12 Na, Okyoung 10 Kim, Byungsoo 10 Kim, Moosup 9 Lee, Taewook 8 Park, Siyun 7 Lee, Jiyeon 7 Oh, Haejune 6 Chen, Cathy W. S. 6 Lee, Youngmi 6 Maekawa, Koichi 6 Na, Seongryong 5 Guo, Meihui 5 Jo, Minyoung 5 Lin, Liang-Ching 4 Fakhre-Zakeri, Issa 4 Karagrigoriou, Alexandros 4 Kim, Chang Kyeom 4 Kim, Dongwon 4 Kim, Hanwool 4 Kim, Minjo 4 Meintanis, Simos G. 4 Noh, Jungsik 4 Song, Junmo 3 Kang, Jiwon 3 Kim, Eunhee 2 Cha, Ji Hwan 2 Ha, Jeongcheol 2 Huh, Jaewon 2 Kawai, Ken-Ichi 2 Kim, Taeyoon 2 Kim, Youngjin 2 Lee, Sangjo 2 Mi, Jie 2 Ng, Chi Tim 2 Pretorius, Charl 2 Sriram, T. N. 2 Tokutsu, Yasuyoshi 1 Chan, Ngai Hang 1 Chen, Shuyu 1 Chien, Hsiang-Lin 1 Cho, Sinsup 1 Hirukawa, Junichi 1 Jang, Gun Ho 1 Jiménez-Gamero, María Dolores 1 Khamthong, K. 1 Kim, Sang-Yoon 1 Kim, Soohwa 1 Kim, Youngtae 1 Lee, Jaeyong 1 Lee, Jinhyoung 1 Lee, Sungim 1 Lu, Xinhong 1 Masuda, Hiroki 1 Mattheou, Kyriacos 1 Moon, Myung-Sang 1 Morimoto, Takayuki 1 Na, Myung Hwan 1 Nishiyama, Yoichi 1 Park, Hyeonah 1 Seo, Byungtae 1 Seok, Seongwoo 1 Taniguchi, Masanobu 1 Tjøstheim, Dag B. 1 Vonta, Filia 1 Wee, In-Suk 1 Wei, Ching-Zong 1 Wei, Xinyu 1 Yoshida, Nakahiro all top 5 Serials 18 Journal of Statistical Computation and Simulation 13 Annals of the Institute of Statistical Mathematics 11 Journal of the Korean Statistical Society 10 Statistics & Probability Letters 9 Journal of Statistical Planning and Inference 9 Computational Statistics and Data Analysis 8 Scandinavian Journal of Statistics 7 Journal of Multivariate Analysis 7 Communications in Statistics. Theory and Methods 6 Communications in Statistics. Simulation and Computation 5 Journal of Time Series Analysis 5 Economics Letters 5 Statistical Methods and Applications 4 Test 3 Metrika 3 Journal of the Korean Mathematical Society 3 Statistics 3 Sequential Analysis 3 Statistica Sinica 3 Statistical Methodology 2 The Annals of Statistics 2 Bulletin of the Korean Mathematical Society 2 Computational Statistics 2 Statistical Inference for Stochastic Processes 2 Applied Stochastic Models in Business and Industry 2 REVSTAT 2 AStA. Advances in Statistical Analysis 1 Physics Letters. A 1 Mathematics and Computers in Simulation 1 Naval Research Logistics 1 Sankhyā. Series A. Methods and Techniques 1 Journal of the Japan Statistical Society 1 Stochastic Processes and their Applications 1 Statistical Papers 1 Bernoulli 1 Far East Journal of Theoretical Statistics 1 Annales de l’I.S.U.P. 1 Journal of Modern Optics 1 Thailand Statistician 1 Advances in Data Analysis and Classification. ADAC 1 Statistics & Risk Modeling all top 5 Fields 161 Statistics (62-XX) 30 Probability theory and stochastic processes (60-XX) 18 Numerical analysis (65-XX) 3 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 1 Ordinary differential equations (34-XX) 1 Partial differential equations (35-XX) 1 Dynamical systems and ergodic theory (37-XX) 1 Mechanics of particles and systems (70-XX) 1 Quantum theory (81-XX) 1 Operations research, mathematical programming (90-XX) 1 Systems theory; control (93-XX) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH Open 139 Publications have been cited 1,144 times in 593 Documents Cited by ▼ Year ▼ The cusum test for parameter change in time series models. Zbl 1053.62085 Lee, Sangyeol; Ha, Jeongcheol; Na, Okyoung; Na, Seongryong 87 2003 The cusum of squares test for scale changes in infinite order moving average processes. Zbl 1010.62079 Lee, Sangyeol; Park, Siyun 53 2001 Parameter change test for Poisson autoregressive models. Zbl 1305.62313 Kang, Jiwon; Lee, Sangyeol 40 2014 On residual empirical processes of stochastic regression models with applications to time series. Zbl 0943.62092 Lee, Sangyeol; Wei, Ching-Zong 39 1999 On the Bickel-Rosenblatt test for first-order autoregressive models. Zbl 0994.62082 Lee, Sangyeol; Na, Seongryong 33 2002 Parameter change test for random coefficient integer-valued autoregressive processes with application to polio data analysis. Zbl 1221.62126 Kang, Jiwon; Lee, Sangyeol 31 2009 Parameter change test for zero-inflated generalized Poisson autoregressive models. Zbl 1359.62376 Lee, Sangyeol; Lee, Youngmi; Chen, Cathy W. S. 25 2016 On the CUSUM test for parameter changes in GARCH(1,1) models. Zbl 1107.62359 Kim, Soohwa; Cho, Sinsup; Lee, Sangyeol 24 2000 Generalized Poisson autoregressive models for time series of counts. Zbl 1468.62037 Chen, Cathy W. S.; Lee, Sangyeol 24 2016 The cusum test for parameter change in regression models with arch errors. Zbl 1062.62191 Lee, Sangyeol; Tokutsu, Yasuyoshi; Maekawa, Koichi 24 2004 Sequential estimation of the mean of a linear process. Zbl 0754.62063 Fakhre-Zakeri, I.; Lee, S. 23 1992 Nonlinear expectile regression with application to value-at-risk and expected shortfall estimation. Zbl 1468.62101 Kim, Minjo; Lee, Sangyeol 22 2016 Test for parameter change in diffusion processes by CUSUM statistics based on one-step estimators. Zbl 1095.62100 Lee, Sangyeol; Nishiyama, Yoichi; Yoshida, Nakahiro 19 2006 CUSUM test for general nonlinear integer-valued GARCH models: comparison study. Zbl 1431.62396 Lee, Youngmi; Lee, Sangyeol 19 2019 A model selection criterion based on the BHHJ measure of divergence. Zbl 1149.62002 Mattheou, K.; Lee, S.; Karagrigoriou, A. 19 2009 Asymptotic theory for ARCH-SM models: LAN and residual empirical processes. Zbl 1059.62014 Lee, Sangyeol; Taniguchi, Masanobu 18 2005 On the cusum of squares test for variance change in nonstationary and nonparametric time series models. Zbl 1049.62051 Lee, Sangyeol; Na, Okyoung; Na, Seongryong 18 2003 Asymptotic normality and parameter change test for bivariate Poisson INGARCH models. Zbl 06852282 Lee, Youngmi; Lee, Sangyeol; Tjøstheim, Dag 17 2018 A maximum entropy type test of fit. Zbl 1464.62117 Lee, Sangyeol; Vonta, Ilia; Karagrigoriou, Alex 17 2011 Minimum density power divergence estimator for Poisson autoregressive models. Zbl 1506.62089 Kang, Jiwon; Lee, Sangyeol 17 2014 Monitoring parameter change in time series models. Zbl 1230.62119 Na, Okyoung; Lee, Youngmi; Lee, Sangyeol 17 2011 Coefficient constancy test in a random coefficient autoregressive model. Zbl 0924.62092 Lee, Sangyeol 16 1998 On first-order integer-valued autoregressive process with Katz family innovations. Zbl 07191955 Kim, Hanwool; Lee, Sangyeol 16 2017 Quantile regression estimator for GARCH models. Zbl 1259.62080 Lee, Sangyeol; Noh, Jungsik 15 2013 Partial teleportation of entanglement in a noisy environment. Zbl 1004.81505 Lee, Jinhyoung; Kim, M. S.; Park, Y. J.; Lee, Sangyeol 14 2000 An asymptotically optimal selection of the order of a linear process. Zbl 1004.62068 Lee, Sangyeol; Karagrigoriou, Alex 14 2001 Sequential estimation for the parameters of a stationary autoregressive model. Zbl 0814.62046 Lee, Sangyeol 14 1994 Modified residual CUSUM test for location-scale time series models with heteroscedasticity. Zbl 1431.62406 Oh, Haejune; Lee, Sangyeol 13 2019 Normal mixture quasi-maximum likelihood estimator for GARCH models. Zbl 1198.62101 Lee, Taewook; Lee, Sangyeol 13 2009 Estimation of a tail index based on minimum density power divergence. Zbl 1151.62321 Kim, Moosup; Lee, Sangyeol 13 2008 Test for parameter change in stochastic processes based on conditional least-squares estimator. Zbl 1066.62082 Lee, Sangyeol; Na, Okyoung 12 2005 Test for parameter change in ARMA models with GARCH innovations. Zbl 1147.62074 Lee, Sangyeol; Song, Junmo 12 2008 Test for parameter change based on the estimator minimizing density-based divergence measures. Zbl 1095.62024 Lee, Sangyeol; Na, Okyoung 11 2005 Minimum density power divergence estimator for GARCH models. Zbl 1203.62158 Lee, Sangyeol; Song, Junmo 11 2009 Sequential point estimation of parameters in a threshold AR(1) model. Zbl 0995.62070 Lee, Sangyeol; Sriram, T. N. 10 1999 Parameter change test for nonlinear time series models with GARCH type errors. Zbl 1312.62109 Lee, Jiyeon; Lee, Sangyeol 10 2015 Sequential estimation for the autocorrelations of linear processes. Zbl 0898.62099 Lee, Sangyeol 10 1996 Test for parameter change in discretely observed diffusion processes. Zbl 1205.62116 Song, Junmo; Lee, Sangyeol 10 2009 Test for tail index change in stationary time series with Pareto-type marginal distribution. Zbl 1200.62054 Kim, Moosup; Lee, Sangyeol 10 2009 Quantile regression for location-scale time series models with conditional heteroscedasticity. Zbl 1468.62274 Noh, Jungsik; Lee, Sangyeol 9 2016 Robust estimation for the covariance matrix of multivariate time series based on normal mixtures. Zbl 1365.62343 Kim, Byungsoo; Lee, Sangyeol 9 2013 Sequential estimation of the mean vector of a multivariate linear process. Zbl 0799.62092 Fakhre-Zakeri, Issa; Lee, Sangyeol 9 1993 Change point detection in copula ARMA-GARCH models. Zbl 1281.62182 Na, Okyoung; Lee, Jiyeon; Lee, Sangyeol 9 2012 On score vector- and residual-based CUSUM tests in ARMA-GARCH models. Zbl 1427.62104 Oh, Haejune; Lee, Sangyeol 8 2018 A note on the Jarque-Bera normality test for GARCH innovations. Zbl 1293.62194 Lee, Sangyeol; Park, Siyun; Lee, Taewook 8 2010 Robust estimation for zero-inflated Poisson autoregressive models based on density power divergence. Zbl 07192106 Kim, Byungsoo; Lee, Sangyeol 8 2017 Monitoring distributional changes in autoregressive models. Zbl 1175.62095 Lee, Sangyeol; Lee, Youngmi; Na, Okyoung 8 2009 Residual empirical process for diffusion processes. Zbl 1140.60337 Lee, Sangyeol; Wee, In-Suk 8 2008 Maximum entropy test for GARCH models. Zbl 1486.62241 Lee, Jiyeon; Lee, Sangyeol; Park, Siyun 8 2015 A family of IDMRL tests with unknown turning point. Zbl 1037.62104 Na, Myung Hwan; Lee, Sangyeol 8 2003 Robust estimation for the covariance matrix of multi-variate time series. Zbl 1294.62205 Kim, Byungsoo; Lee, Sangyeol 7 2011 Robust estimation for general integer-valued time series models. Zbl 1466.62388 Kim, Byungsoo; Lee, Sangyeol 7 2020 Posterior consistency of species sampling priors. Zbl 1187.62055 Jang, Gun Ho; Lee, Jaeyong; Lee, Sangyeol 7 2010 Cusum test for parameter change based on the maximum likelihood estimator. Zbl 1101.62066 Lee, Sangyeol; Lee, Taewook 6 2004 Change point test for tail index for dependent data. Zbl 1226.62080 Kim, Moosup; Lee, Sangyeol 6 2011 Goodness-of-fit test for stochastic volatility models. Zbl 1277.62125 Lin, Liang-Ching; Lee, Sangyeol; Guo, Meihui 6 2013 Location and scale-based CUSUM test with application to autoregressive models. Zbl 07480208 Lee, Sangyeol 6 2020 Change point test for dispersion parameter based on discretely observed sample from SDE models. Zbl 1219.62124 Lee, Sangyeol 6 2011 Trimmed portmanteau test for linear processes with infinite variance. Zbl 1181.62138 Lee, Sangyeol; Ng, Chi Tim 6 2010 A nonparametric goodness of fit test for strong mixing processes. Zbl 0981.62038 Lee, Sangyeol; Na, Seongryong 5 2000 A maximum entropy type test of fit: composite hypothesis case. Zbl 1365.62155 Lee, Sangyeol 5 2013 Monitoring parameter changes for random coefficient autoregressive models. Zbl 1294.62210 Na, Okyoung; Lee, Jiyeon; Lee, Sangyeol 5 2010 Kernel density estimator for strong mixing processes. Zbl 1089.62036 Kim, Tae Yoon; Lee, Sangyeol 5 2005 Robust estimation for copula parameter in SCOMDY models. Zbl 1288.62047 Kim, Byungsoo; Lee, Sangyeol 5 2013 Inference for Box-Cox transformed threshold GARCH models with nuisance parameters. Zbl 1323.62085 Lee, Sangyeol; Lee, Taewook 5 2012 Local non-stationarity test in mean for Markov switching GARCH models: an approximate Bayesian approach. Zbl 1342.65025 Chen, Cathy W. S.; Lee, Sangyeol; Chen, Shu-Yu 4 2016 Change point test of tail index for autoregressive processes. Zbl 1296.62171 Kim, Moosup; Lee, Sangyeol 4 2012 A random functional central limit theorem for stationary linear processes generated by martingales. Zbl 0887.60041 Fakhre-Zakeri, Issa; Lee, Sangyeol 4 1997 A note on the residual empirical process in autoregressive models. Zbl 0901.62111 Lee, Sangyeol 4 1997 The Bickel–Rosenblatt test for diffusion processes. Zbl 1095.62099 Lee, Sangyeol 4 2006 Monitoring parameter shift with Poisson integer-valued GARCH models. Zbl 07192028 Huh, Jaewon; Kim, Hanwool; Lee, Sangyeol 4 2017 Parameter change test for autoregressive conditional duration models. Zbl 1359.62351 Lee, Sangyeol; Oh, Haejune 4 2016 Change point detection in SCOMDY models. Zbl 1443.62232 Na, Okyoung; Lee, Jiyeon; Lee, Sangyeol 4 2013 Residual-based CUSUM of squares test for Poisson integer-valued GARCH models. Zbl 07193891 Lee, Sangyeol 4 2019 Value-at-risk forecasting based on Gaussian mixture ARMA-GARCH model. Zbl 1432.62306 Lee, Sangyeol; Lee, Taewook 4 2011 Experimental observation of dynamic stabilization in a double-well Duffing oscillator. Zbl 1115.70307 Kim, Youngtae; Lee, Sang Yeol; Kim, Sang-Yoon 4 2000 A nonparametric test for the change of the density function in strong mixing processes. Zbl 1117.62472 Lee, Sangyeol; Na, Seongryong 4 2004 Minimum density power divergence estimator for diffusion processes. Zbl 1441.62219 Lee, Sangyeol; Song, Junmo 4 2013 Mildly explosive autoregression with mixing innovations. Zbl 1390.62182 Oh, Haejune; Lee, Sangyeol; Chan, Ngai Hang 3 2018 On functional limit theorems for multivariate linear processes with applications to sequential estimation. Zbl 0956.60020 Fakhre-Zakeri, Issa; Lee, Sangyeol 3 2000 Test for dispersion constancy in stochastic differential equation models. Zbl 06292441 Lee, Sangyeol; Guo, Meihui 3 2012 A test for independence of two stationary infinite order autoregressive processes. Zbl 1083.62090 Kim, Eunhee; Lee, Sangyeol 3 2005 On entropy-based goodness-of-fit test for asymmetric Student-\(t\) and exponential power distributions. Zbl 1492.62049 Lee, Sangyeol; Kim, Minjo 3 2017 On Fisher’s dispersion test for integer-valued autoregressive Poisson models with applications. Zbl 1380.37153 Lee, Sangyeol; Park, Siyun; Chen, Cathy W. S. 3 2017 Modeling and inference for counts time series based on zero-inflated exponential family INGARCH models. Zbl 07497054 Lee, Sangyeol; Kim, Dongwon; Seok, Seongwoo 3 2021 Recent progress in parameter change test for integer-valued time series models. Zbl 1485.62124 Lee, Sangyeol; Kim, Byungsoo 3 2021 Goodness-of-fit tests for parametric specifications of conditionally heteroscedastic models. Zbl 1458.62201 Jiménez-Gamero, M. Dolores; Lee, Sangyeol; Meintanis, Simos G. 3 2020 Entropy-based goodness of fit test for a composite hypothesis. Zbl 1338.62088 Lee, Sangyeol 3 2016 On the goodness of fit test for discretely observed sample from diffusion processes: divergence measure approach. Zbl 1201.62097 Lee, Sangyeol 3 2010 Test for conditional quantile change in GARCH models. Zbl 07553098 Lee, Sangyeol; Kim, Chang Kyeom 3 2022 Maximum entropy test for autoregressive models. Zbl 1322.62220 Lee, Sangyeol; Park, Siyun 2 2013 On the quantile process based on the autoregressive residuals. Zbl 1066.62538 Lee, Sangyeol 2 1998 On the Kolmogorov-Smirnov type test for testing nonlinearity in time series. Zbl 1008.62667 Kim, Youngjin; Lee, Sangyeol 2 2002 Coefficient constancy test in AR-ARCH models. Zbl 0996.62080 Ha, Jeongcheol; Lee, Sangyeol 2 2002 Entropy test and residual empirical process for autoregressive conditional duration models. Zbl 1468.62116 Lee, Sangyeol; Oh, Haejune 2 2015 Quantile regression estimation for discretely observed SDE models with compound Poisson jumps. Zbl 1283.62070 Noh, Jungsik; Lee, Seung Y.; Lee, Sangyeol 2 2012 Random central limit theorem for the linear process generated by a strong mixing process. Zbl 0892.60038 Lee, Sangyeol 2 1997 Fixed-width confidence interval based on a minimum Hellinger distance estimator. Zbl 1099.62091 Lee, Sangyeol; Sriram, T. N.; Wei, Xinyu 2 2006 The monitoring test for the stability of regression models with nonstationary regressors. Zbl 1181.62139 Lee, Sangyeol; Park, Siyun 2 2009 Goodness of fit test for discrete random variables. Zbl 1471.62108 Lee, Sangyeol 2 2014 Modeling and inference for multivariate time series of counts based on the INGARCH scheme. Zbl 07602494 Lee, Sangyeol; Kim, Dongwon; Kim, Byungsoo 2 2023 Bivariate random coefficient integer-valued autoregressive models: parameter estimation and change point test. Zbl 07731498 Lee, Sangyeol; Jo, Minyoung 2 2023 Exponential family QMLE-based CUSUM test for integer-valued time series. Zbl 07714133 Lee, Sangyeol; Lee, Sangjo 1 2023 Test for conditional quantile change in GARCH models. Zbl 07553098 Lee, Sangyeol; Kim, Chang Kyeom 3 2022 Monitoring parameter change for time series models with application to location-scale heteroscedastic models. Zbl 07660120 Lee, Sangyeol; Kim, Chang Kyeom 1 2022 Risk measurement for conditionally heteroscedastic location-scale time series models with ASTD and AEPD innovations. Zbl 07546450 Kim, Minjo; Lee, Sangyeol 1 2022 Modeling and inference for counts time series based on zero-inflated exponential family INGARCH models. Zbl 07497054 Lee, Sangyeol; Kim, Dongwon; Seok, Seongwoo 3 2021 Recent progress in parameter change test for integer-valued time series models. Zbl 1485.62124 Lee, Sangyeol; Kim, Byungsoo 3 2021 Symbolic interval-valued data analysis for time series based on auto-interval-regressive models. Zbl 1478.62259 Lin, Liang-Ching; Chien, Hsiang-Lin; Lee, Sangyeol 1 2021 Bayesian inference of nonlinear hysteretic integer-valued GARCH models for disease counts. Zbl 1505.62094 Chen, Cathy W. S.; Lee, Sangyeol; Khamthong, K. 1 2021 Robust estimation for general integer-valued time series models. Zbl 1466.62388 Kim, Byungsoo; Lee, Sangyeol 7 2020 Location and scale-based CUSUM test with application to autoregressive models. Zbl 07480208 Lee, Sangyeol 6 2020 Goodness-of-fit tests for parametric specifications of conditionally heteroscedastic models. Zbl 1458.62201 Jiménez-Gamero, M. Dolores; Lee, Sangyeol; Meintanis, Simos G. 3 2020 CUSUM test for general nonlinear integer-valued GARCH models: comparison study. Zbl 1431.62396 Lee, Youngmi; Lee, Sangyeol 19 2019 Modified residual CUSUM test for location-scale time series models with heteroscedasticity. Zbl 1431.62406 Oh, Haejune; Lee, Sangyeol 13 2019 Residual-based CUSUM of squares test for Poisson integer-valued GARCH models. Zbl 07193891 Lee, Sangyeol 4 2019 Test for tail index constancy of GARCH innovations based on conditional volatility. Zbl 1432.62302 Kim, Moosup; Lee, Sangyeol 1 2019 On causality test for time series of counts based on Poisson ingarch models with application to crime and temperature data. Zbl 07551093 Lee, Youngmi; Lee, Sangyeol 1 2019 Asymptotic normality and parameter change test for bivariate Poisson INGARCH models. Zbl 06852282 Lee, Youngmi; Lee, Sangyeol; Tjøstheim, Dag 17 2018 On score vector- and residual-based CUSUM tests in ARMA-GARCH models. Zbl 1427.62104 Oh, Haejune; Lee, Sangyeol 8 2018 Mildly explosive autoregression with mixing innovations. Zbl 1390.62182 Oh, Haejune; Lee, Sangyeol; Chan, Ngai Hang 3 2018 Bootstrap entropy test for general location-scale time series models with heteroscedasticity. Zbl 07192675 Kim, Minjo; Lee, Sangyeol 2 2018 Monitoring mean shift in INAR(1)s processes based on CLSE-CUSUM procedure. Zbl 1398.62234 Kim, Hanwool; Lee, Sangyeol 1 2018 On entropy goodness-of-fit test based on integrated distribution function. Zbl 07192667 Lee, Sangyeol; Park, Siyun; Kim, Byungsoo 1 2018 On first-order integer-valued autoregressive process with Katz family innovations. Zbl 07191955 Kim, Hanwool; Lee, Sangyeol 16 2017 Robust estimation for zero-inflated Poisson autoregressive models based on density power divergence. Zbl 07192106 Kim, Byungsoo; Lee, Sangyeol 8 2017 Monitoring parameter shift with Poisson integer-valued GARCH models. Zbl 07192028 Huh, Jaewon; Kim, Hanwool; Lee, Sangyeol 4 2017 On entropy-based goodness-of-fit test for asymmetric Student-\(t\) and exponential power distributions. Zbl 1492.62049 Lee, Sangyeol; Kim, Minjo 3 2017 On Fisher’s dispersion test for integer-valued autoregressive Poisson models with applications. Zbl 1380.37153 Lee, Sangyeol; Park, Siyun; Chen, Cathy W. S. 3 2017 Monitoring parameter change for time series models with conditional heteroscedasticity. Zbl 1396.62208 Huh, Jaewon; Oh, Haejune; Lee, Sangyeol 1 2017 Parameter change test for zero-inflated generalized Poisson autoregressive models. Zbl 1359.62376 Lee, Sangyeol; Lee, Youngmi; Chen, Cathy W. S. 25 2016 Generalized Poisson autoregressive models for time series of counts. Zbl 1468.62037 Chen, Cathy W. S.; Lee, Sangyeol 24 2016 Nonlinear expectile regression with application to value-at-risk and expected shortfall estimation. Zbl 1468.62101 Kim, Minjo; Lee, Sangyeol 22 2016 Quantile regression for location-scale time series models with conditional heteroscedasticity. Zbl 1468.62274 Noh, Jungsik; Lee, Sangyeol 9 2016 Local non-stationarity test in mean for Markov switching GARCH models: an approximate Bayesian approach. Zbl 1342.65025 Chen, Cathy W. S.; Lee, Sangyeol; Chen, Shu-Yu 4 2016 Parameter change test for autoregressive conditional duration models. Zbl 1359.62351 Lee, Sangyeol; Oh, Haejune 4 2016 Entropy-based goodness of fit test for a composite hypothesis. Zbl 1338.62088 Lee, Sangyeol 3 2016 On the tail index inference for heavy-tailed GARCH-type innovations. Zbl 1440.62332 Kim, Moosup; Lee, Sangyeol 2 2016 Goodness-of-fit test for the SVM based on noisy observations. Zbl 1359.62458 Lin, Liang-Ching; Lee, Sangyeol; Guo, Meihui 1 2016 A local unit root test in mean for financial time series. Zbl 1510.62354 Chen, Cathy W. S.; Lee, Sangyeol 1 2016 Parameter change test for nonlinear time series models with GARCH type errors. Zbl 1312.62109 Lee, Jiyeon; Lee, Sangyeol 10 2015 Maximum entropy test for GARCH models. Zbl 1486.62241 Lee, Jiyeon; Lee, Sangyeol; Park, Siyun 8 2015 Entropy test and residual empirical process for autoregressive conditional duration models. Zbl 1468.62116 Lee, Sangyeol; Oh, Haejune 2 2015 Copula parameter change test for nonlinear AR models with nonlinear GARCH errors. Zbl 1487.62109 Lee, Sangyeol; Kim, Byungsoo 1 2015 Parameter change test for Poisson autoregressive models. Zbl 1305.62313 Kang, Jiwon; Lee, Sangyeol 40 2014 Minimum density power divergence estimator for Poisson autoregressive models. Zbl 1506.62089 Kang, Jiwon; Lee, Sangyeol 17 2014 Goodness of fit test for discrete random variables. Zbl 1471.62108 Lee, Sangyeol 2 2014 Monitoring test for stability of copula parameter in time series. Zbl 1304.62115 Na, Okyoung; Lee, Jiyeon; Lee, Sangyeol 1 2014 Quantile regression estimator for GARCH models. Zbl 1259.62080 Lee, Sangyeol; Noh, Jungsik 15 2013 Robust estimation for the covariance matrix of multivariate time series based on normal mixtures. Zbl 1365.62343 Kim, Byungsoo; Lee, Sangyeol 9 2013 Goodness-of-fit test for stochastic volatility models. Zbl 1277.62125 Lin, Liang-Ching; Lee, Sangyeol; Guo, Meihui 6 2013 A maximum entropy type test of fit: composite hypothesis case. Zbl 1365.62155 Lee, Sangyeol 5 2013 Robust estimation for copula parameter in SCOMDY models. Zbl 1288.62047 Kim, Byungsoo; Lee, Sangyeol 5 2013 Change point detection in SCOMDY models. Zbl 1443.62232 Na, Okyoung; Lee, Jiyeon; Lee, Sangyeol 4 2013 Minimum density power divergence estimator for diffusion processes. Zbl 1441.62219 Lee, Sangyeol; Song, Junmo 4 2013 Maximum entropy test for autoregressive models. Zbl 1322.62220 Lee, Sangyeol; Park, Siyun 2 2013 On the maximum likelihood estimator for irregularly observed time series data from COGARCH(1,1) models. Zbl 1314.62197 Kim, Moosup; Lee, Sangyeol 1 2013 Change point detection in copula ARMA-GARCH models. Zbl 1281.62182 Na, Okyoung; Lee, Jiyeon; Lee, Sangyeol 9 2012 Inference for Box-Cox transformed threshold GARCH models with nuisance parameters. Zbl 1323.62085 Lee, Sangyeol; Lee, Taewook 5 2012 Change point test of tail index for autoregressive processes. Zbl 1296.62171 Kim, Moosup; Lee, Sangyeol 4 2012 Test for dispersion constancy in stochastic differential equation models. Zbl 06292441 Lee, Sangyeol; Guo, Meihui 3 2012 Quantile regression estimation for discretely observed SDE models with compound Poisson jumps. Zbl 1283.62070 Noh, Jungsik; Lee, Seung Y.; Lee, Sangyeol 2 2012 A maximum entropy type test of fit. Zbl 1464.62117 Lee, Sangyeol; Vonta, Ilia; Karagrigoriou, Alex 17 2011 Monitoring parameter change in time series models. Zbl 1230.62119 Na, Okyoung; Lee, Youngmi; Lee, Sangyeol 17 2011 Robust estimation for the covariance matrix of multi-variate time series. Zbl 1294.62205 Kim, Byungsoo; Lee, Sangyeol 7 2011 Change point test for tail index for dependent data. Zbl 1226.62080 Kim, Moosup; Lee, Sangyeol 6 2011 Change point test for dispersion parameter based on discretely observed sample from SDE models. Zbl 1219.62124 Lee, Sangyeol 6 2011 Value-at-risk forecasting based on Gaussian mixture ARMA-GARCH model. Zbl 1432.62306 Lee, Sangyeol; Lee, Taewook 4 2011 Constancy test for FARIMA long memory processes. Zbl 1296.62174 Lee, Jiyeon; Na, Okyoung; Lee, Sangyeol 1 2011 Normality test for multivariate conditional heteroskedastic dynamic regression models. Zbl 1211.62154 Lee, Sangyeol; Ng, Chi Tim 1 2011 A divergence test for autoregressive time series models. Zbl 1219.62138 Lee, S.; Karagrigoriou, A. 1 2011 A note on the Jarque-Bera normality test for GARCH innovations. Zbl 1293.62194 Lee, Sangyeol; Park, Siyun; Lee, Taewook 8 2010 Posterior consistency of species sampling priors. Zbl 1187.62055 Jang, Gun Ho; Lee, Jaeyong; Lee, Sangyeol 7 2010 Trimmed portmanteau test for linear processes with infinite variance. Zbl 1181.62138 Lee, Sangyeol; Ng, Chi Tim 6 2010 Monitoring parameter changes for random coefficient autoregressive models. Zbl 1294.62210 Na, Okyoung; Lee, Jiyeon; Lee, Sangyeol 5 2010 On the goodness of fit test for discretely observed sample from diffusion processes: divergence measure approach. Zbl 1201.62097 Lee, Sangyeol 3 2010 Robust estimation for order of hidden Markov models based on density power divergences. Zbl 1432.62280 Lee, Sangyeol; Lee, Taewook 2 2010 Jarque-Bera normality test for the driving Lévy process of a discretely observed univariate SDE. Zbl 1209.62197 Lee, Sangyeol; Masuda, Hiroki 1 2010 Parameter change test for random coefficient integer-valued autoregressive processes with application to polio data analysis. Zbl 1221.62126 Kang, Jiwon; Lee, Sangyeol 31 2009 A model selection criterion based on the BHHJ measure of divergence. Zbl 1149.62002 Mattheou, K.; Lee, S.; Karagrigoriou, A. 19 2009 Normal mixture quasi-maximum likelihood estimator for GARCH models. Zbl 1198.62101 Lee, Taewook; Lee, Sangyeol 13 2009 Minimum density power divergence estimator for GARCH models. Zbl 1203.62158 Lee, Sangyeol; Song, Junmo 11 2009 Test for parameter change in discretely observed diffusion processes. Zbl 1205.62116 Song, Junmo; Lee, Sangyeol 10 2009 Test for tail index change in stationary time series with Pareto-type marginal distribution. Zbl 1200.62054 Kim, Moosup; Lee, Sangyeol 10 2009 Monitoring distributional changes in autoregressive models. Zbl 1175.62095 Lee, Sangyeol; Lee, Youngmi; Na, Okyoung 8 2009 The monitoring test for the stability of regression models with nonstationary regressors. Zbl 1181.62139 Lee, Sangyeol; Park, Siyun 2 2009 Consistency of minimizing a penalized density power divergence estimator for mixing distribution. Zbl 1309.62061 Lee, Taewook; Lee, Sangyeol 1 2009 Estimation of a tail index based on minimum density power divergence. Zbl 1151.62321 Kim, Moosup; Lee, Sangyeol 13 2008 Test for parameter change in ARMA models with GARCH innovations. Zbl 1147.62074 Lee, Sangyeol; Song, Junmo 12 2008 Residual empirical process for diffusion processes. Zbl 1140.60337 Lee, Sangyeol; Wee, In-Suk 8 2008 Jump diffusion model with application to the Japanese stock market. Zbl 1216.91040 Maekawa, Koichi; Lee, Sangyeol; Morimoto, Takayuki; Kawai, Ken-ichi 2 2008 The CUSUM of squares test for the stability of regression models with non-stationary regressors. Zbl 1255.62269 Lu, Xinhong; Maekawa, Koichi; Lee, Sangyeol 2 2008 Large bandwidth asymptotics for Nadaraya-Watson auto-regression estimator. Zbl 1293.62192 Kim, Tae Yoon; Moon, Myung Sang; Lee, Sangyeol 1 2008 Robust estimation for the order of finite mixture models. Zbl 1247.62067 Lee, Sangyeol; Lee, Taewook 1 2008 Test for parameter change in linear processes based on Whittle’s estimator. Zbl 1124.62060 Lee, Taewook; Lee, Sangyeol 1 2007 Moving estimates test with time varying bandwidth. Zbl 1116.62097 Na, Okyoung; Lee, Sangyeol 1 2007 Diagnostic test for unstable autoregressive models. Zbl 1116.62095 Lee, Sangyeol; Kim, Eunhee; Kim, Youngjin 1 2007 Test for parameter change in diffusion processes by CUSUM statistics based on one-step estimators. Zbl 1095.62100 Lee, Sangyeol; Nishiyama, Yoichi; Yoshida, Nakahiro 19 2006 The Bickel–Rosenblatt test for diffusion processes. Zbl 1095.62099 Lee, Sangyeol 4 2006 Fixed-width confidence interval based on a minimum Hellinger distance estimator. Zbl 1099.62091 Lee, Sangyeol; Sriram, T. N.; Wei, Xinyu 2 2006 ...and 39 more Documents all cited Publications top 5 cited Publications all top 5 Cited by 744 Authors 109 Lee, Sangyeol 18 Wang, Dehui 16 Karagrigoriou, Alexandros 14 Song, Junmo 13 Yang, Kai 12 Kim, Byungsoo 12 Na, Okyoung 12 Tian, Zheng 10 Horváth, Lajos 10 Kang, Jiwon 10 Meintanis, Simos G. 10 Zhu, Fukang 9 Lee, Taewook 9 Sriram, T. N. 7 Chen, Cathy W. S. 7 Chen, Zhanshou 7 Ghosh, Abhik 7 Kim, Moosup 7 Konev, Victor 7 Li, Qi 7 Vonta, Filia 6 Francq, Christian 6 Goegebeur, Yuri 6 Guillou, Armelle 6 Hušková, Marie 6 Jin, Hao 6 Kengne, William Charky 6 Lee, Jiyeon 6 Lee, Youngmi 6 Na, Seongryong 6 Park, Siyun 5 Basu, Ayanendranath 5 Chen, Huaping 5 Cheng, Fuxia 5 González-Manteiga, Wenceslao 5 Guo, Meihui 5 Li, Fuxiao 5 Li, Han 5 Mattheou, Kyriacos 5 Nishiyama, Yoichi 5 Oh, Haejune 5 Qi, Peiyan 5 Wied, Dominik 5 Yang, Wenzhi 5 Zhang, Jinsuo 4 Altun, Emrah 4 Bouzebda, Salim 4 Cui, Yunwei 4 Fokianos, Konstantinos 4 Fried, Roland 4 Ha, Jeongcheol 4 Hwang, Eunju 4 Iacus, Stefano Maria 4 Ing, Ching-Kang 4 Jiménez-Gamero, María Dolores 4 Jo, Minyoung 4 Kim, Chang Kyeom 4 Kim, Dongwon 4 Kim, Minjo 4 Koul, Hira Lal 4 Lin, Liang-Ching 4 Maekawa, Koichi 4 Nielsen, Bent 4 Taniguchi, Masanobu 4 Weiß, Christian H. 4 Wu, Rongning 4 Yu, Shuhui 4 Zakoïan, Jean-Michel 4 Zhao, Zhiwen 3 De Gregorio, Alessandro 3 Dehling, Herold G. 3 Diop, Mamadou Lamine 3 Fakhre-Zakeri, Issa 3 Galtchouk, Leonid I. 3 Ghoudi, Kilani 3 Gombay, Edit 3 Gonçalves, Esmeralda 3 Hlávka, Zdeněk 3 Kang, Yao 3 Kim, Hanwool 3 Kim, Taeyoon 3 Kirch, Claudia 3 Lu, Feilong 3 Mantalos, Panagiotis 3 Masuda, Hiroki 3 Mendes Lopes, Nazaré 3 Mitra, Murari 3 Nagakura, Daisuke 3 Negri, Ilia 3 Noh, Jungsik 3 Noughabi, Hadi Alizadeh 3 Paternostro, Mauro 3 Psaradakis, Zacharias 3 Rezakhah, Saeid 3 Sajjadipanah, Soudabe 3 Shin, Dongwan 3 Steland, Ansgar 3 Vávra, Marián 3 Vidyashankar, Anand N. 3 Zhang, Si ...and 644 more Authors all top 5 Cited in 114 Serials 38 Journal of Statistical Computation and Simulation 34 Statistics & Probability Letters 33 Communications in Statistics. 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ADAC ...and 14 more Serials all top 5 Cited in 18 Fields 560 Statistics (62-XX) 116 Probability theory and stochastic processes (60-XX) 56 Numerical analysis (65-XX) 37 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 14 Quantum theory (81-XX) 6 Computer science (68-XX) 6 Information and communication theory, circuits (94-XX) 5 Biology and other natural sciences (92-XX) 3 Dynamical systems and ergodic theory (37-XX) 2 General and overarching topics; collections (00-XX) 2 Ordinary differential equations (34-XX) 2 Mechanics of particles and systems (70-XX) 2 Statistical mechanics, structure of matter (82-XX) 1 Real functions (26-XX) 1 Partial differential equations (35-XX) 1 Optics, electromagnetic theory (78-XX) 1 Geophysics (86-XX) 1 Systems theory; control (93-XX) Citations by Year