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Li, Wai Keung

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Author ID: li.wai-keung Recent zbMATH articles by "Li, Wai Keung"
Published as: Li, W. K.; Li, Wai K.; Li, Wai Keung; Li, Wai-Keung
Documents Indexed: 126 Publications since 1981, including 4 Books

Publications by Year

Citations contained in zbMATH Open

97 Publications have been cited 1,514 times in 1,129 Documents Cited by Year
An adaptive estimation of dimension reduction space (with discussion). Zbl 1091.62028
Xia, Yingcun; Tong, Howell; Li, W. K.; Zhu, Li-Xing
289
2002
Diagnostic checking ARMA time series models using squared-residual autocorrelations. Zbl 0536.62067
McLeod, A. I.; Li, W. K.
99
1983
On the squared residual autocorrelations in nonlinear time series with conditional heteroskedasticity. Zbl 0807.62070
Li, W. K.; Mak, T. K.
63
1994
On a mixture autoregressive model. Zbl 0941.62095
Wong, Chun Shan; Li, Wai Keung
62
2000
On single-index coefficient regression models. Zbl 1069.62548
Xia, Yingcun; Li, W. K.
62
1999
Diagnostic checks in time series. Zbl 1053.62100
Li, Wai Keung
60
2004
On a mixture autoregressive conditional heteroscedastic model. Zbl 1051.62091
Wong, Chun Shan; Li, Wai Keung
58
2001
On fractionally integrated autoregressive moving-average time series models with conditional heteroscedasticity. Zbl 1067.62572
Ling, Shiqing; Li, W. K.
58
1997
On extended partially linear single-index models. Zbl 0942.62109
Xia, Yingcun; Tong, Howell; Li, W. K.
49
1999
Distribution of the residual autocorrelations in multivariate ARMA time series models. Zbl 0505.62079
Li, W. K.; McLeod, A. I.
44
1981
On the estimation and testing of functional-coefficient linear models. Zbl 0958.62040
Xia, Yingcun; Li, W. K.
43
1999
Limiting distributions of maximum likelihood estimators for unstable autoregressive moving-average time series with general autoregressive heteroscedastic errors. Zbl 0932.62103
Ling, Shiqing; Li, W. K.
39
1998
Time series models based on generalized linear models: Some further results. Zbl 0825.62606
Li, W. K.
33
1994
Estimation and testing for unit root processes with GARCH(1,1) errors: theory and Monte Carlo evidence. Zbl 1106.62346
Ling, Shiqing; Li, W. K.; McAleer, Michael
30
2003
The Gerber-Shiu expected discounted penalty function for risk processes with interest and a constant dividend barrier. Zbl 1273.91456
Yuen, Kam C.; Wang, Guojing; Li, Wai K.
26
2007
On a logistic mixture autoregressive model. Zbl 0985.62074
Wong, C. S.; Li, W. K.
26
2001
Diagnostic checking of nonlinear multivariate time series with multivariate ARCH errors. Zbl 0882.62081
Ling, Shiqing; Li, W. K.
24
1997
Self-excited threshold Poisson autoregression. Zbl 1367.62267
Wang, Chao; Liu, Heng; Yao, Jian-Feng; Davis, Richard A.; Li, Wai Keung
21
2014
A goodness-of-fit test for single-index models. (With comments and rejoinder). Zbl 1040.62034
Xia, Yingcun; Li, W. K.; Tong, Howell; Zhang, Dixin
21
2004
ARMA modelling with non-Gaussian innovations. Zbl 0637.62079
Li, W. K.; McLeod, A. I.
20
1988
On a threshold autoregression with conditional heteroscedastic variances. Zbl 0921.62113
Liu, J.; Li, W. K.; Li, C. W.
19
1997
On the asymptotic standard errors of residual autocorrelations in nonlinear time series modelling. Zbl 0751.62042
Li, W. K.
17
1992
Testing for threshold autoregression with conditional heteroscedasticity. Zbl 1058.62554
Wong, C. S.; Li, W. K.
16
1997
On a multivariate conditional heteroscedastic model. Zbl 0883.62106
Wong, Heung; Li, W. K.
16
1997
Diagnostic checking for time series models with conditional heteroscedasticity estimated by the least absolute deviation approach. Zbl 1152.62370
Li, Guodong; Li, Wai Keung
14
2005
Asymptotic behavior of bandwidth selected by the cross-validation method for local polynomial fitting. Zbl 1025.62016
Xia, Yingcun; Li, W. K.
13
2002
Estimation of nonlinear time series with conditional heteroscedastic variances by iteratively weighted least squares. Zbl 0900.62467
Mak, T. K.; Wong, H.; Li, W. K.
13
1997
Least absolute deviation estimation for fractionally integrated autoregressive moving average time series models with conditional heteroscedasticity. Zbl 1437.62529
Li, Guodong; Li, Wai Keung
12
2008
On a mixture vector autoregressive model. Zbl 1124.62059
Fong, P. W.; Li, W. K.; Yau, C. W.; Wong, C. S.
12
2007
On a mixture GARCH time-series model. Zbl 1115.62094
Zhang, Zhiqiang; Li, Wai Keung; Yuen, Kam Chuen
11
2006
Testing for double threshold autoregressive conditional heteroscedastic model. Zbl 0970.62059
Wong, C. S.; Li, W. K.
11
2000
Single-index volatility models and estimation. Zbl 1002.62082
Xia, Yingcun; Tong, Howell; Li, W. K.
10
2002
A method of estimating the noise level in a chaotic time series. Zbl 1307.37035
Jayawardena, A. W.; Xu, Pengcheng; Li, W. K.
9
2008
Estimation for partially nonstationary multivariate autoregressive models with conditional heteroscedasticity. Zbl 1006.62080
Li, W. K.; Ling, Shiqing; Wong, H.
9
2001
Hysteretic autoregressive time series models. Zbl 1452.62658
Li, Guodong; Guan, Bo; Li, Wai Keung; Yu, Philip L. H.
8
2015
Detecting and diagnostic checking multivariate conditional heteroscedastic time series models. Zbl 0991.62037
Wong, H.; Li, W. K.
8
2002
Asymptotic inference for nonstationary fractionally integrated autoregressive moving-average models. Zbl 1018.62075
Ling, Shiqing; Li, W. K.
8
2001
Testing model adequacy for some Markov regression models for time series. Zbl 0717.62078
Li, W. K.
8
1991
Zero-inflated Poisson regression mixture model. Zbl 06975379
Lim, Hwa Kyung; Li, Wai Keung; Yu, Philip L. H.
7
2014
Modeling insurance claims via a mixture exponential model combined with peaks-over-threshold approach. Zbl 1285.91061
Lee, David; Li, Wai Keung; Wong, Tony Siu Tung
7
2012
Testing a linear time series model against its threshold extension. Zbl 1210.62123
Li, Guodong; Li, Wai Keung
7
2011
A note on the corrected Akaike information criterion for threshold autoregressive models. Zbl 0902.62113
Wong, C. S.; Li, W. K.
7
1998
An algorithm for the exact likelihood of periodic autoregressive moving average models. Zbl 0695.62217
Li, W. K.; Hui, Yer Van
7
1988
A bootstrapped spectral test for adequacy in weak ARMA models. Zbl 1337.62285
Zhu, Ke; Li, Wai Keung
6
2015
Robust multiple time series modelling. Zbl 0666.62087
Li, W. K.; Hui, Yer Van
6
1989
On the autopersistence functions and the autopersistence graphs of binary autoregressive time series. Zbl 1273.62227
Wang, Chao; Li, Wai Keung
5
2011
A threshold approach for peaks-over-threshold modeling using maximum product of spacings. Zbl 05769966
Wong, Tony Siu Tung; Li, Wai Keung
5
2010
A goodness-of-fit test in robust time series modelling. Zbl 0638.62085
Li, W. K.
5
1988
A new hyperbolic GARCH model. Zbl 1337.62273
Li, Muyi; Li, Wai Keung; Li, Guodong
4
2015
Asymptotic theory on the least squares estimation of threshold moving-average models. Zbl 1274.62604
Li, Dong; Ling, Shiqing; Li, Wai Keung
4
2013
On the least squares estimation of threshold autoregressive and moving-average models. Zbl 05983891
Li, Dong; Li, Wai Keung; Ling, Shiqing
4
2011
Modified correlation entropy estimation for a noisy chaotic time series. Zbl 1311.37001
Jayawardena, A. W.; Xu, Pengcheng; Li, W. K.
4
2010
On some models for value-at-risk. Zbl 1205.91095
Yu, Philip L. H.; Li, Wai Keung; Jin, Shusong
4
2010
Testing for threshold moving average with conditional heteroscedasticity. Zbl 1135.62071
Li, Guodong; Li, Wai Keung
4
2008
A simple multivariate ARCH model specified by random coefficients. Zbl 1157.62490
Fong, P. W.; Li, W. K.; An, Hong-Zhi
4
2006
Testing model adequacy for dynamic panel data with intercorrelation. Zbl 1036.62073
Fu, Bo; Li, Wai-Keung; Fung, Wing-Kam
4
2002
Robust residual cross correlation tests for lagged relations in time series. Zbl 0832.62080
Li, W. K.; Hui, Y. V.
4
1994
Some Lagrange multiplier tests for seasonal differencing. Zbl 0735.62090
Li, W. K.
4
1991
On the autocorrelation structure and identification of some bilinear time series. Zbl 0546.62062
Li, W. K.
4
1984
Testing for the buffered autoregressive processes. Zbl 1285.62113
Zhu, Ke; Yu, Philip L. H.; Li, Wai Keung
3
2014
On mixture memory GARCH models. Zbl 1306.62201
Li, Muyi; Li, Wai Keung; Li, Guodong
3
2013
On the estimation and diagnostic checking of the ARFIMA-HYGARCH model. Zbl 1255.62261
Kwan, Wilson; Li, Wai Keung; Li, Guodong
3
2012
Mixtures of nonparametric autoregressions. Zbl 1327.62253
Franke, J.; Stockis, J.-P.; Tadjuidje-Kamgaing, J.; Li, W. K.
3
2011
A multivariate threshold varying conditional correlations model. Zbl 1180.62123
Kwan, W.; Li, W. K.; Ng, K. W.
3
2010
Threshold variable selection using nonparametric methods. Zbl 1145.62326
Xia, Yingcun; Li, Wai-Keung; Tong, Howell
3
2007
Interactive hidden Markov models and their applications. Zbl 1123.62087
Ching, W. K.; Fung, E.; Ng, M.; Siu, T. K.; Li, W. K.
3
2007
Asymptotic inference for unit root processes with GARCH(1,1) errors. Zbl 1441.62798
Ling, Shiqing; Li, W. K.
3
2003
Multivariate modelling of the autoregressive random variance process. Zbl 0927.62092
So, Mike K. P.; Li, W. K.; Lam, K.
3
1997
Distribution of residual autocorrelations in multivariate autoregressive index models. Zbl 0586.62148
Li, W. K.
3
1985
On some Matérn covariance functions for spatio-temporal random fields. Zbl 1369.62250
Ip, Ryan H. L.; Li, W. K.
2
2017
Diagnostic checking of the vector multiplicative error model. Zbl 06918655
Ng, F. C.; Li, W. K.; Yu, Philip L. H.
2
2016
Test for homogeneity in gamma mixture models using likelihood ratio. Zbl 06970949
Wong, Tony Siu Tung; Li, Wai Keung
2
2014
A Black-Litterman approach to correlation stress testing. Zbl 1402.62254
Ng, F. C.; Li, W. K.; Yu, Philip L. H.
2
2014
Least absolute deviation estimation for unit root processes with GARCH errors. Zbl 1284.62565
Li, Guodong; Li, Wai Keung
2
2009
A note on the estimation of extreme value distributions using maximum product of spacings. Zbl 1268.62048
Wong, T. S. T.; Li, W. K.
2
2006
An independent component ordering and selection procedure based on the MSE criterion. Zbl 1178.94123
Wu, Edmond HaoCun; Yu, Philip L. H.; Li, W. K.
2
2006
Joint modeling of cointegration and conditional heteroscedasticity with applications. Zbl 1083.62097
Wong, Heung; Li, W. K.; Ling, Shiquing
2
2005
Some results on the estimation of a higher order Markov chain. Zbl 0707.62179
Li, W. K.; Kwok, Michael C. O.
2
1990
On a spiked model for large volatility matrix estimation from noisy high-frequency data. Zbl 06970991
Shen, Keren; Yao, Jianfeng; Li, Wai Keung
1
2019
A robust goodness-of-fit test for generalized autoregressive conditional heteroscedastic models. Zbl 07072394
Zheng, Yao; Li, Wai Keung; Li, Guodong
1
2018
On buffered threshold GARCH models. Zbl 1356.62150
Lo, Pak Hang; Li, Wai Keung; Yu, Philip L. H.; Li, Guodong
1
2016
Double generalized threshold models with constraint on the dispersion by the mean. Zbl 06984106
Wu, K. Y. K.; Li, W. K.
1
2015
Modeling threshold conditional heteroscedasticity with regime-dependent skewness and kurtosis. Zbl 06917717
Cheng, Xixin; Li, W. K.; Yu, Philip L. H.; Zhou, Xuan; Wang, Chao; Lo, P. H.
1
2011
Basket trading under co-integration with the logistic mixture autoregressive model. Zbl 1277.91166
Cheng, Xixin; Yu, Philip L. H.; Li, W. K.
1
2011
On the threshold hyperbolic GARCH models. Zbl 1229.91360
Kwan, Wilson; Li, Wai Keung; Li, Guodong
1
2011
Modeling default data via an interactive hidden Markov model. Zbl 1195.91176
Ching, Wai-Ki; Siu, Tak Kuen; Li, Li-Min; Li, Tang; Li, Wai-Keung
1
2009
A note on diagnostic checking of the double autoregressive model. Zbl 1186.62108
Kwok, Simon Sai Man; Li, Wai Keung
1
2009
A time-series risk model with constant interest for dependent classes of business. Zbl 1119.91060
Zhang, Zhiqiang; Yuen, Kam C.; Li, Wai Keung
1
2007
Ultimate ruin probability for a time-series risk model with dependent classes of insurance business. Zbl 1192.91121
Wan, Lai Mei; Yuen, Kam Chuen; Li, Wai Keung
1
2005
Some results on cointegration with random coefficients in the error correction form: estimation and testing. Zbl 1062.62170
Fong, P. W.; Li, W. K.
1
2004
On time series with randomized unit root and randomized seasonal unit root. Zbl 1429.62395
Fong, Pak Wing; Li, Wai Keung
1
2003
Diagnostic checking multivariate conditional heteroscedasticity. Zbl 0912.62100
Wong, H.; Li, W. K.
1
1996
Distribution of the cross-correlations of squared residuals in ARIMA models. Zbl 0879.62089
Wong, H.; Li, W. K.
1
1996
On fractionally differenced periodic processes. Zbl 0856.62074
Hui, Y. V.; Li, W. K.
1
1995
A simple one degree of freedom test for nonlinear time series model discrimination. Zbl 0822.62075
Li, W. K.
1
1993
A new method for estimating subgroup means under misclassification. Zbl 0644.62008
Mak, T. K.; Li, W. K.
1
1988
Estimation of random coefficient autoregressive process: An empirical Bayes approach. Zbl 0523.62078
Li, W. K.; Hui, Y. V.
1
1983
On a spiked model for large volatility matrix estimation from noisy high-frequency data. Zbl 06970991
Shen, Keren; Yao, Jianfeng; Li, Wai Keung
1
2019
A robust goodness-of-fit test for generalized autoregressive conditional heteroscedastic models. Zbl 07072394
Zheng, Yao; Li, Wai Keung; Li, Guodong
1
2018
On some Matérn covariance functions for spatio-temporal random fields. Zbl 1369.62250
Ip, Ryan H. L.; Li, W. K.
2
2017
Diagnostic checking of the vector multiplicative error model. Zbl 06918655
Ng, F. C.; Li, W. K.; Yu, Philip L. H.
2
2016
On buffered threshold GARCH models. Zbl 1356.62150
Lo, Pak Hang; Li, Wai Keung; Yu, Philip L. H.; Li, Guodong
1
2016
Hysteretic autoregressive time series models. Zbl 1452.62658
Li, Guodong; Guan, Bo; Li, Wai Keung; Yu, Philip L. H.
8
2015
A bootstrapped spectral test for adequacy in weak ARMA models. Zbl 1337.62285
Zhu, Ke; Li, Wai Keung
6
2015
A new hyperbolic GARCH model. Zbl 1337.62273
Li, Muyi; Li, Wai Keung; Li, Guodong
4
2015
Double generalized threshold models with constraint on the dispersion by the mean. Zbl 06984106
Wu, K. Y. K.; Li, W. K.
1
2015
Self-excited threshold Poisson autoregression. Zbl 1367.62267
Wang, Chao; Liu, Heng; Yao, Jian-Feng; Davis, Richard A.; Li, Wai Keung
21
2014
Zero-inflated Poisson regression mixture model. Zbl 06975379
Lim, Hwa Kyung; Li, Wai Keung; Yu, Philip L. H.
7
2014
Testing for the buffered autoregressive processes. Zbl 1285.62113
Zhu, Ke; Yu, Philip L. H.; Li, Wai Keung
3
2014
Test for homogeneity in gamma mixture models using likelihood ratio. Zbl 06970949
Wong, Tony Siu Tung; Li, Wai Keung
2
2014
A Black-Litterman approach to correlation stress testing. Zbl 1402.62254
Ng, F. C.; Li, W. K.; Yu, Philip L. H.
2
2014
Asymptotic theory on the least squares estimation of threshold moving-average models. Zbl 1274.62604
Li, Dong; Ling, Shiqing; Li, Wai Keung
4
2013
On mixture memory GARCH models. Zbl 1306.62201
Li, Muyi; Li, Wai Keung; Li, Guodong
3
2013
Modeling insurance claims via a mixture exponential model combined with peaks-over-threshold approach. Zbl 1285.91061
Lee, David; Li, Wai Keung; Wong, Tony Siu Tung
7
2012
On the estimation and diagnostic checking of the ARFIMA-HYGARCH model. Zbl 1255.62261
Kwan, Wilson; Li, Wai Keung; Li, Guodong
3
2012
Testing a linear time series model against its threshold extension. Zbl 1210.62123
Li, Guodong; Li, Wai Keung
7
2011
On the autopersistence functions and the autopersistence graphs of binary autoregressive time series. Zbl 1273.62227
Wang, Chao; Li, Wai Keung
5
2011
On the least squares estimation of threshold autoregressive and moving-average models. Zbl 05983891
Li, Dong; Li, Wai Keung; Ling, Shiqing
4
2011
Mixtures of nonparametric autoregressions. Zbl 1327.62253
Franke, J.; Stockis, J.-P.; Tadjuidje-Kamgaing, J.; Li, W. K.
3
2011
Modeling threshold conditional heteroscedasticity with regime-dependent skewness and kurtosis. Zbl 06917717
Cheng, Xixin; Li, W. K.; Yu, Philip L. H.; Zhou, Xuan; Wang, Chao; Lo, P. H.
1
2011
Basket trading under co-integration with the logistic mixture autoregressive model. Zbl 1277.91166
Cheng, Xixin; Yu, Philip L. H.; Li, W. K.
1
2011
On the threshold hyperbolic GARCH models. Zbl 1229.91360
Kwan, Wilson; Li, Wai Keung; Li, Guodong
1
2011
A threshold approach for peaks-over-threshold modeling using maximum product of spacings. Zbl 05769966
Wong, Tony Siu Tung; Li, Wai Keung
5
2010
Modified correlation entropy estimation for a noisy chaotic time series. Zbl 1311.37001
Jayawardena, A. W.; Xu, Pengcheng; Li, W. K.
4
2010
On some models for value-at-risk. Zbl 1205.91095
Yu, Philip L. H.; Li, Wai Keung; Jin, Shusong
4
2010
A multivariate threshold varying conditional correlations model. Zbl 1180.62123
Kwan, W.; Li, W. K.; Ng, K. W.
3
2010
Least absolute deviation estimation for unit root processes with GARCH errors. Zbl 1284.62565
Li, Guodong; Li, Wai Keung
2
2009
Modeling default data via an interactive hidden Markov model. Zbl 1195.91176
Ching, Wai-Ki; Siu, Tak Kuen; Li, Li-Min; Li, Tang; Li, Wai-Keung
1
2009
A note on diagnostic checking of the double autoregressive model. Zbl 1186.62108
Kwok, Simon Sai Man; Li, Wai Keung
1
2009
Least absolute deviation estimation for fractionally integrated autoregressive moving average time series models with conditional heteroscedasticity. Zbl 1437.62529
Li, Guodong; Li, Wai Keung
12
2008
A method of estimating the noise level in a chaotic time series. Zbl 1307.37035
Jayawardena, A. W.; Xu, Pengcheng; Li, W. K.
9
2008
Testing for threshold moving average with conditional heteroscedasticity. Zbl 1135.62071
Li, Guodong; Li, Wai Keung
4
2008
The Gerber-Shiu expected discounted penalty function for risk processes with interest and a constant dividend barrier. Zbl 1273.91456
Yuen, Kam C.; Wang, Guojing; Li, Wai K.
26
2007
On a mixture vector autoregressive model. Zbl 1124.62059
Fong, P. W.; Li, W. K.; Yau, C. W.; Wong, C. S.
12
2007
Threshold variable selection using nonparametric methods. Zbl 1145.62326
Xia, Yingcun; Li, Wai-Keung; Tong, Howell
3
2007
Interactive hidden Markov models and their applications. Zbl 1123.62087
Ching, W. K.; Fung, E.; Ng, M.; Siu, T. K.; Li, W. K.
3
2007
A time-series risk model with constant interest for dependent classes of business. Zbl 1119.91060
Zhang, Zhiqiang; Yuen, Kam C.; Li, Wai Keung
1
2007
On a mixture GARCH time-series model. Zbl 1115.62094
Zhang, Zhiqiang; Li, Wai Keung; Yuen, Kam Chuen
11
2006
A simple multivariate ARCH model specified by random coefficients. Zbl 1157.62490
Fong, P. W.; Li, W. K.; An, Hong-Zhi
4
2006
A note on the estimation of extreme value distributions using maximum product of spacings. Zbl 1268.62048
Wong, T. S. T.; Li, W. K.
2
2006
An independent component ordering and selection procedure based on the MSE criterion. Zbl 1178.94123
Wu, Edmond HaoCun; Yu, Philip L. H.; Li, W. K.
2
2006
Diagnostic checking for time series models with conditional heteroscedasticity estimated by the least absolute deviation approach. Zbl 1152.62370
Li, Guodong; Li, Wai Keung
14
2005
Joint modeling of cointegration and conditional heteroscedasticity with applications. Zbl 1083.62097
Wong, Heung; Li, W. K.; Ling, Shiquing
2
2005
Ultimate ruin probability for a time-series risk model with dependent classes of insurance business. Zbl 1192.91121
Wan, Lai Mei; Yuen, Kam Chuen; Li, Wai Keung
1
2005
Diagnostic checks in time series. Zbl 1053.62100
Li, Wai Keung
60
2004
A goodness-of-fit test for single-index models. (With comments and rejoinder). Zbl 1040.62034
Xia, Yingcun; Li, W. K.; Tong, Howell; Zhang, Dixin
21
2004
Some results on cointegration with random coefficients in the error correction form: estimation and testing. Zbl 1062.62170
Fong, P. W.; Li, W. K.
1
2004
Estimation and testing for unit root processes with GARCH(1,1) errors: theory and Monte Carlo evidence. Zbl 1106.62346
Ling, Shiqing; Li, W. K.; McAleer, Michael
30
2003
Asymptotic inference for unit root processes with GARCH(1,1) errors. Zbl 1441.62798
Ling, Shiqing; Li, W. K.
3
2003
On time series with randomized unit root and randomized seasonal unit root. Zbl 1429.62395
Fong, Pak Wing; Li, Wai Keung
1
2003
An adaptive estimation of dimension reduction space (with discussion). Zbl 1091.62028
Xia, Yingcun; Tong, Howell; Li, W. K.; Zhu, Li-Xing
289
2002
Asymptotic behavior of bandwidth selected by the cross-validation method for local polynomial fitting. Zbl 1025.62016
Xia, Yingcun; Li, W. K.
13
2002
Single-index volatility models and estimation. Zbl 1002.62082
Xia, Yingcun; Tong, Howell; Li, W. K.
10
2002
Detecting and diagnostic checking multivariate conditional heteroscedastic time series models. Zbl 0991.62037
Wong, H.; Li, W. K.
8
2002
Testing model adequacy for dynamic panel data with intercorrelation. Zbl 1036.62073
Fu, Bo; Li, Wai-Keung; Fung, Wing-Kam
4
2002
On a mixture autoregressive conditional heteroscedastic model. Zbl 1051.62091
Wong, Chun Shan; Li, Wai Keung
58
2001
On a logistic mixture autoregressive model. Zbl 0985.62074
Wong, C. S.; Li, W. K.
26
2001
Estimation for partially nonstationary multivariate autoregressive models with conditional heteroscedasticity. Zbl 1006.62080
Li, W. K.; Ling, Shiqing; Wong, H.
9
2001
Asymptotic inference for nonstationary fractionally integrated autoregressive moving-average models. Zbl 1018.62075
Ling, Shiqing; Li, W. K.
8
2001
On a mixture autoregressive model. Zbl 0941.62095
Wong, Chun Shan; Li, Wai Keung
62
2000
Testing for double threshold autoregressive conditional heteroscedastic model. Zbl 0970.62059
Wong, C. S.; Li, W. K.
11
2000
On single-index coefficient regression models. Zbl 1069.62548
Xia, Yingcun; Li, W. K.
62
1999
On extended partially linear single-index models. Zbl 0942.62109
Xia, Yingcun; Tong, Howell; Li, W. K.
49
1999
On the estimation and testing of functional-coefficient linear models. Zbl 0958.62040
Xia, Yingcun; Li, W. K.
43
1999
Limiting distributions of maximum likelihood estimators for unstable autoregressive moving-average time series with general autoregressive heteroscedastic errors. Zbl 0932.62103
Ling, Shiqing; Li, W. K.
39
1998
A note on the corrected Akaike information criterion for threshold autoregressive models. Zbl 0902.62113
Wong, C. S.; Li, W. K.
7
1998
On fractionally integrated autoregressive moving-average time series models with conditional heteroscedasticity. Zbl 1067.62572
Ling, Shiqing; Li, W. K.
58
1997
Diagnostic checking of nonlinear multivariate time series with multivariate ARCH errors. Zbl 0882.62081
Ling, Shiqing; Li, W. K.
24
1997
On a threshold autoregression with conditional heteroscedastic variances. Zbl 0921.62113
Liu, J.; Li, W. K.; Li, C. W.
19
1997
Testing for threshold autoregression with conditional heteroscedasticity. Zbl 1058.62554
Wong, C. S.; Li, W. K.
16
1997
On a multivariate conditional heteroscedastic model. Zbl 0883.62106
Wong, Heung; Li, W. K.
16
1997
Estimation of nonlinear time series with conditional heteroscedastic variances by iteratively weighted least squares. Zbl 0900.62467
Mak, T. K.; Wong, H.; Li, W. K.
13
1997
Multivariate modelling of the autoregressive random variance process. Zbl 0927.62092
So, Mike K. P.; Li, W. K.; Lam, K.
3
1997
Diagnostic checking multivariate conditional heteroscedasticity. Zbl 0912.62100
Wong, H.; Li, W. K.
1
1996
Distribution of the cross-correlations of squared residuals in ARIMA models. Zbl 0879.62089
Wong, H.; Li, W. K.
1
1996
On fractionally differenced periodic processes. Zbl 0856.62074
Hui, Y. V.; Li, W. K.
1
1995
On the squared residual autocorrelations in nonlinear time series with conditional heteroskedasticity. Zbl 0807.62070
Li, W. K.; Mak, T. K.
63
1994
Time series models based on generalized linear models: Some further results. Zbl 0825.62606
Li, W. K.
33
1994
Robust residual cross correlation tests for lagged relations in time series. Zbl 0832.62080
Li, W. K.; Hui, Y. V.
4
1994
A simple one degree of freedom test for nonlinear time series model discrimination. Zbl 0822.62075
Li, W. K.
1
1993
On the asymptotic standard errors of residual autocorrelations in nonlinear time series modelling. Zbl 0751.62042
Li, W. K.
17
1992
Testing model adequacy for some Markov regression models for time series. Zbl 0717.62078
Li, W. K.
8
1991
Some Lagrange multiplier tests for seasonal differencing. Zbl 0735.62090
Li, W. K.
4
1991
Some results on the estimation of a higher order Markov chain. Zbl 0707.62179
Li, W. K.; Kwok, Michael C. O.
2
1990
Robust multiple time series modelling. Zbl 0666.62087
Li, W. K.; Hui, Yer Van
6
1989
ARMA modelling with non-Gaussian innovations. Zbl 0637.62079
Li, W. K.; McLeod, A. I.
20
1988
An algorithm for the exact likelihood of periodic autoregressive moving average models. Zbl 0695.62217
Li, W. K.; Hui, Yer Van
7
1988
A goodness-of-fit test in robust time series modelling. Zbl 0638.62085
Li, W. K.
5
1988
A new method for estimating subgroup means under misclassification. Zbl 0644.62008
Mak, T. K.; Li, W. K.
1
1988
Distribution of residual autocorrelations in multivariate autoregressive index models. Zbl 0586.62148
Li, W. K.
3
1985
On the autocorrelation structure and identification of some bilinear time series. Zbl 0546.62062
Li, W. K.
4
1984
Diagnostic checking ARMA time series models using squared-residual autocorrelations. Zbl 0536.62067
McLeod, A. I.; Li, W. K.
99
1983
Estimation of random coefficient autoregressive process: An empirical Bayes approach. Zbl 0523.62078
Li, W. K.; Hui, Y. V.
1
1983
Distribution of the residual autocorrelations in multivariate ARMA time series models. Zbl 0505.62079
Li, W. K.; McLeod, A. I.
44
1981
all top 5

Cited by 1,501 Authors

38 Zhu, Lixing
28 Li, Wai Keung
25 Ling, Shiqing
22 Duchesne, Pierre
18 Zhang, Riquan
16 Chen, Cathy W. S.
15 Xue, Liugen
15 Yin, Xiangrong
14 Lee, Sangyeol
14 McAleer, Michael
13 Yang, Hu
12 Huang, Zhensheng
12 Liang, Hua
11 Lian, Heng
11 Zhu, Liping
10 Fokianos, Konstantinos
10 Francq, Christian
10 Horváth, Lajos
10 Li, Bing
10 Li, Guodong
10 Tjøstheim, Dag B.
10 Wang, Qihua
10 Wang, Qin
10 Xia, Yingcun
10 Yu, Zhou
9 Aknouche, Abdelhakim
9 Li, Gaorong
9 Tong, Howell
9 You, Jinhong
9 Zakoïan, Jean-Michel
9 Zhou, Yong
8 Wang, Dehui
8 Yuen, Kam Chuen
8 Zhao, Weihua
8 Zhu, Ke
7 Chen, Gemai
7 Guo, Xu
7 Jiang, Rong
7 Li, Dong
7 Lin, Lu
7 Saikkonen, Pentti
7 Shao, Xiaofeng
7 So, Mike K. P.
7 Yu, Philip Leung Ho
7 Zhu, Fukang
6 Cai, Zongwu
6 Chen, Rong
6 Dong, Yuexiao
6 Feng, Sanying
6 Gerlach, Richard H.
6 Guo, Chaohui
6 Kokoszka, Piotr S.
6 Lin, Jinguan
6 Liu, Jicai
6 Lv, Jing
6 McLeod, Angus Ian
6 Nielsen, Morten Ørregaard
6 Park, Jin-Hong
6 Qian, Weimin
6 Shin, Dongwan
6 Taylor, A. M. Robert
6 Wen, Xuerong Meggie
6 Wong, Heung
6 Yao, Qiwei
5 Carvalho, Alexandre X.
5 Cavaliere, Giuseppe
5 Chan, Ngai Hang
5 Cook, Ralph Dennis
5 Hoti, Suhejla
5 Lai, Peng
5 Lee, Oesook
5 Li, Han
5 Li, Lexin
5 Li, Qi
5 Li, WanKai
5 Lue, Heng-Hui
5 Meitz, Mika
5 Siu, Tak Kuen
5 Xu, Peirong
5 Xue, Yuan
5 Yang, Jing
5 Yang, Kai
5 Zhang, Wenyang
5 Zhou, Zhangong
5 Zhu, Xuehu
4 Bentarzi, Mohamed
4 Berchtold, André
4 Berkes, István
4 Chan, Felix T. S.
4 Chen, Min
4 Cline, Daren B. H.
4 Dellaportas, Petros
4 Escanciano, Juan Carlos
4 Feng, Zhenghui
4 Fong, Pak Wing
4 Gao, Jiti
4 Ghoudi, Kilani
4 Hu, Xuemei
4 Katayama, Naoya
4 Lau, John Wei
...and 1,401 more Authors
all top 5

Cited in 148 Serials

111 Computational Statistics and Data Analysis
76 Journal of Multivariate Analysis
72 Journal of Econometrics
52 Journal of Statistical Planning and Inference
49 Statistics & Probability Letters
49 Journal of Time Series Analysis
44 The Annals of Statistics
41 Journal of Statistical Computation and Simulation
33 Econometric Theory
29 Communications in Statistics. Theory and Methods
21 Journal of Nonparametric Statistics
20 Mathematics and Computers in Simulation
20 Electronic Journal of Statistics
19 Computational Statistics
19 Statistical Papers
18 Statistics
17 Communications in Statistics. Simulation and Computation
16 The Canadian Journal of Statistics
16 Annals of the Institute of Statistical Mathematics
16 Test
15 Insurance Mathematics & Economics
14 Economics Letters
14 Journal of Applied Statistics
13 Journal of Computational and Applied Mathematics
13 Bernoulli
13 Statistics and Computing
12 Econometric Reviews
12 Journal of the Korean Statistical Society
11 Scandinavian Journal of Statistics
10 Journal of the American Statistical Association
10 Science China. Mathematics
9 Quantitative Finance
7 Metrika
7 The Econometrics Journal
7 Journal of the Royal Statistical Society. Series B. Statistical Methodology
7 Journal of Systems Science and Complexity
6 Acta Mathematicae Applicatae Sinica. English Series
6 Stochastic Processes and their Applications
6 Applied Stochastic Models in Business and Industry
6 Brazilian Journal of Probability and Statistics
6 Statistical Modelling
5 Biometrics
4 Statistical Science
4 Science in China. Series A
4 Computational Economics
4 Australian & New Zealand Journal of Statistics
4 Chaos
4 Statistical Methodology
3 Metron
3 Journal of Economic Dynamics & Control
3 European Journal of Operational Research
3 Applied Mathematics. Series B (English Edition)
3 International Journal of Theoretical and Applied Finance
3 Journal of Machine Learning Research (JMLR)
3 ASTIN Bulletin
3 North American Actuarial Journal
3 Journal of Statistical Theory and Practice
3 AStA. Advances in Statistical Analysis
3 SIAM/ASA Journal on Uncertainty Quantification
2 Advances in Applied Probability
2 Chaos, Solitons and Fractals
2 Applied Mathematics and Computation
2 Machine Learning
2 Neural Computation
2 The Annals of Applied Probability
2 International Journal of Bifurcation and Chaos in Applied Sciences and Engineering
2 Applied and Computational Harmonic Analysis
2 Methodology and Computing in Applied Probability
2 Scandinavian Actuarial Journal
2 Stochastic Models
2 Iranian Journal of Science and Technology. Transaction A: Science
2 Statistical Methods and Applications
2 Statistical Analysis and Data Mining
2 European Journal of Pure and Applied Mathematics
2 The Annals of Applied Statistics
2 Statistics Surveys
2 Journal of Probability and Statistics
2 Sankhyā. Series A
2 Journal of Time Series Econometrics
1 Biological Cybernetics
1 Computer Methods in Applied Mechanics and Engineering
1 International Journal of Control
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1 Journal of the Franklin Institute
1 Journal of Statistical Physics
1 Biometrical Journal
1 Econometrica
1 International Journal of Mathematics and Mathematical Sciences
1 Kybernetika
1 Nonlinear Analysis. Theory, Methods & Applications. Series A: Theory and Methods
1 Statistica Neerlandica
1 Moscow University Computational Mathematics and Cybernetics
1 Operations Research Letters
1 Chinese Annals of Mathematics. Series B
1 Journal of Classification
1 Physica D
1 Probability Theory and Related Fields
1 International Journal of Approximate Reasoning
1 Mathematical and Computer Modelling
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