← All authors Qiwei Yao London School of Economics and Political Science (from arXiv:2606.08560, 2026) · ORCID · OpenAlex
90 papers in scope · 88 published · 3 on the econ.EM arXiv · 9,625 citations · h-index 35 (over the papers listed here)
Related authors The 20 authors closest to this one in our weighted citation graph, most related first.
Yuefeng Han Rong Chen Cun-Hui Zhang Dan Yang Jinyuan Chang Qiyang Yu Bin Chen Elynn Chen Ke Xu Jiayu Li Elynn Chen Long Yu Guanglin Huang Stevenson Bolívar Xiao Han Ruofan Yu Jiayan Li Liyuan Cui Guanhao Feng Ivan Ricardo Proximity is measured over citations between two papers we both hold, weighted by how heavily one leans on the other, and is symmetric — it does not distinguish citing from being cited. Authors without a profile here are skipped, and a genuinely close colleague can be missing simply because their work is not in our arXiv corpus. Method: docs/06-citations-pipeline.md .
Papers (5 of 90)
working paper 2026 · arXiv
published 2026 · The Annals of Statistics
Autoregressive networks with dependent edges
published 2026 · Journal of the Royal Statistical Society Series B (Statistical Methodology) · 1 citations
working paper 2025 · arXiv · 1 citations
published 2024 · Journal of the American Statistical Association · 10 citations · first circulated 2021
Self-correction method for sensor faulty heat pump system based on machine learning
published 2024 · Results in Engineering · 9 citations
with Zhe Sun
A novel in-situ sensor calibration method for building thermal systems based on virtual samples and autoencoder
published 2024 · Energy · 66 citations
with Zhe Sun, Huaqiang Jin, Yingjie Xu, Wei Hang, Hongyu Chen, Kang Li, Ling Shi, Jiangping Gu, Qinjian Zhang, Xi Shen
Edge differentially private estimation in the β-model via jittering and method of moments
published 2024 · The Annals of Statistics · 6 citations · first circulated 2021
Blind Source Separation over Space: An Eigenanalysis Approach
published 2023 · Statistica Sinica · first circulated 2022
with Bo Zhang, Sixing Hao
Testing for the Markov property in time series via deep conditional generative learning
published 2023 · Journal of the Royal Statistical Society Series B (Statistical Methodology) · 8 citations
An autocovariance-based learning framework for high-dimensional functional time series
published 2023 · Journal of Econometrics · 19 citations · first circulated 2020
Modelling matrix time series via a tensor CP-decomposition
published 2023 · Journal of the Royal Statistical Society Series B (Statistical Methodology) · 40 citations · first circulated 2021
published 2022 · Journal of the American Statistical Association · 8 citations · first circulated 2021
Day-ahead probabilistic forecasting for French half-hourly electricity loads and quantiles for curve-to-curve regression
published 2021 · Applied Energy · 26 citations
with Xiuqin Xu, Ying Chen, Yannig Goude
Testing for unit roots based on sample autocovariances
published 2021 · Biometrika
Estimation of Subgraph Densities in Noisy Networks
published 2020 · Journal of the American Statistical Association · 31 citations · first circulated 2018
Krigings over space and time based on latent low-dimensional structures
published 2020 · Science China Mathematics · 3 citations · first circulated 2016
with Da Huang, Rongmao Zhang
Estimation for double-nonlinear cointegration
published 2020 · Journal of Econometrics · 12 citations
On testing for high-dimensional white noise
published 2019 · The Annals of Statistics · 35 citations · first circulated 2018
Banded spatio-temporal autoregressions
published 2018 · Journal of Econometrics · 43 citations
Error-Correction Factor Models for High-dimensional Cointegrated Time Series
published 2018 · Statistica Sinica · 7 citations
Principal component analysis for second-order stationary vector time series
published 2018 · The Annals of Statistics · 58 citations · first circulated 2014
Confidence regions for entries of a large precision matrix
published 2018 · Journal of Econometrics · 42 citations · first circulated 2016
Identifying Cointegration by Eigenanalysis
published 2018 · Journal of the American Statistical Association · 56 citations · first circulated 2015
with Rongmao Zhang, Peter M. Robinson
Nonlinear Regression Estimation Using Subset-Based Kernel Principal Components
published 2017 · Statistica Sinica · 2 citations
Estimating conditional means with heavy tails
published 2017 · Statistics & Probability Letters · 1 citations
with Liang Peng
Testing for high-dimensional white noise using maximum cross-correlations
published 2016 · Biometrika · 51 citations
High-dimensional and banded vector autoregressions
published 2016 · Biometrika · 75 citations · first circulated 2015
with Shaojun Guo, Yazhen Wang
Financial Statistics and Risk Management: An Overview
published 2016 · Journal of Econometrics
Generalized Yule–Walker estimation for spatio-temporal models with unknown diagonal coefficients
published 2016 · Journal of Econometrics · 44 citations · first circulated 2015
with Baojun Dou, Maria Lucia Parrella
Estimation for Dynamic and Static Panel Probit Models with Large Individual Effects
published 2016 · Journal of Time Series Analysis · 6 citations · first circulated 2014
with Wei Gao, Wicher Bergsma, Tata Subba Rao, Granville Tunnicliffe Wilson
Modeling Multivariate Volatilities via Latent Common Factors
published 2015 · Journal of Business and Economic Statistics · 14 citations
High dimensional stochastic regression with latent factors, endogeneity and nonlinearity
published 2015 · Journal of Econometrics · 67 citations
Estimation of Extreme Quantiles for Functions of Dependent Random Variables
published 2014 · Journal of the Royal Statistical Society Series B (Statistical Methodology) · 14 citations · first circulated 2013
with Jinguo Gong, Yadong Li, Liang Peng
Matching a Distribution by Matching Quantiles Estimation
published 2014 · Journal of the American Statistical Association · 26 citations
with Nikolaos Sgouropoulos, Claudia Yastremiz
Statistical Inference for Complex Time Series Data
published 2014 · Oberwolfach Reports
CFEnetwork: The Annals of Computational and Financial Econometrics
published 2014 · Computational Statistics & Data Analysis
Comment
published 2014 · Journal of Business and Economic Statistics
Comment
published 2014 · Journal of Business and Economic Statistics
Estimation in the presence of many nuisance parameters: Composite likelihood and plug-in likelihood
published 2013 · Stochastic Processes and their Applications · 6 citations
with Billy Wu, Zhu Shiwu
Matching quantiles estimation
published 2013 · Journal of neurosurgery · 5 citations
with Nikolaos Sgouropoulos, Claudia Yastremiz
Modeling and Forecasting Daily Electricity Load Curves: A Hybrid Approach
published 2012 · Journal of the American Statistical Association · 110 citations
with Haeran Cho, Yannig Goude, Xavier Brossat
Factor modeling for high-dimensional time series: Inference for the number of factors
published 2012 · The Annals of Statistics · 62 citations · first circulated 2011
Weight-calibrated estimation for factor models of high-dimensional time series*
published 2011 · Biometrika · 209 citations · first circulated 2010
Large Volatility Matrix Inference via Combining Low-Frequency and High-Frequency Approaches
published 2011 · Journal of the American Statistical Association · 102 citations
Mini-Workshop: Semiparametric Modelling of Multivariate Economic Time Series With Changing Dynamics
published 2010 · Oberwolfach Reports
with Luc Bauwens, Rainer von Sachs
Nonparametric transfer function models
published 2009 · Journal of Econometrics · 29 citations
Adaptively Varying-Coefficient Spatiotemporal Models
published 2009 · Journal of the Royal Statistical Society Series B (Statistical Methodology) · 63 citations
with Zudi Lu, Dag Johan Steinskog, Dag Tjøstheim
Approximating conditional density functions using dimension reduction
published 2009 · Acta Mathematicae Applicatae Sinica English Series · 16 citations
with Jian-qing Fan, Liang Peng, Wen-yang Zhang
APPROXIMATING VOLATILITIES BY ASYMMETRIC POWER GARCH FUNCTIONS
published 2009 · Australian & New Zealand Journal of Statistics · 8 citations
with Jeremy Penzer, Mingjin Wang
On determination of cointegration ranks
published 2009 · Statistics and Its Interface · 9 citations
with Qiaoling Li, Jiazhu Pan
Testing for multivariate volatility functions using minimum volume sets and inverse regression
published 2008 · Journal of Econometrics · 4 citations
Spatial smoothing, Nugget effect and infill asymptotics
published 2008 · Statistics & Probability Letters · 10 citations
with Zudi Lu, Dag Tjøstheim
Modelling Multivariate Volatilities via Conditionally Uncorrelated Components
published 2008 · Journal of the Royal Statistical Society Series B (Statistical Methodology) · 71 citations · first circulated 2005
Estimating GARCH models: when to use what?
published 2008 · Econometrics Journal · 39 citations
Modelling multiple time series via common factors
published 2008 · Biometrika · 130 citations
with Jiazhu Pan
Bootstrap tests for simple structures in nonparametric time series regression
published 2008 · Statistics and Its Interface · 49 citations
with Jens-Peter Kreiß, Michael H. Neumann
To How Many Simultaneous Hypothesis Tests Can Normal, Student's t or Bootstrap Calibration Be Applied?
published 2007 · Journal of the American Statistical Association · 83 citations · first circulated 2006
WEIGHTED LEAST ABSOLUTE DEVIATIONS ESTIMATION FOR ARMA MODELS WITH INFINITE VARIANCE
published 2007 · Econometric Theory · 3 citations
with Jiazhu Pan, Hui Wang
Exploring spatial nonlinearity using additive approximation
published 2007 · Bernoulli · 66 citations
with Zudi Lu, Arvid Lundervold, Dag Tjøstheim
Gaussian Maximum Likelihood Estimation For ARMA Models. I. Time Series
published 2006 · Journal of Time Series Analysis · 51 citations
with Peter J. Brockwell
Gaussian maximum likelihood estimation for ARMA models II: Spatial processes
published 2006 · Bernoulli · 60 citations
with Peter J. Brockwell
Nonparametric regression under dependent errors with infinite variance
published 2004 · Annals of the Institute of Statistical Mathematics · 18 citations
with Liang Peng
Statistical Tests for Lyapunov Exponents of Deterministic Systems
published 2004 · Studies in Nonlinear Dynamics and Econometrics · 17 citations
Smoothing for Spatiotemporal Models and Its Application to Modeling Muskrat‐Mink Interaction
published 2003 · Biometrics · 14 citations
Data Tilting for Time Series
published 2003 · Journal of the Royal Statistical Society Series B (Statistical Methodology) · 27 citations
with Peter Hall
Inference in components of variance models with low replication
published 2003 · The Annals of Statistics · 30 citations
with Peter Hall
Adaptive Varying-Coefficient Linear Models
published 2003 · Journal of the Royal Statistical Society Series B (Statistical Methodology) · 14 citations · first circulated 2000
Inference in Arch and Garch Models with Heavy-Tailed Errors
published 2003 · Econometrica · 377 citations
with Peter Hall, Peter A. Hall
Prediction and nonparametric estimation for time series with heavy tails
published 2002 · Journal of Time Series Analysis · 24 citations
with Peter Hall, Liang Peng
Moving-maximum models for extrema of time series
published 2002 · Journal of Statistical Planning and Inference · 30 citations
with Peter A. Hall, Liang Peng, Peter Hall
Set-Indexed Conditional Empirical and Quantile Processes Based on Dependent Data
published 2002 · Journal of Multivariate Analysis · 29 citations
An adaptive estimation of dimension reduction space - Discussion on the paper by Xia, Tong, Li and Zhu
published 2002 · Journal of the Royal Statistical Society Series B (Statistical Methodology) · 1 citations
with John T. Kent, Adrian Bowman, Santiago Velilla, Wenyang Zhang, Frank Critchley, Anthony C. Atkinson, A. H. Welsh, Cui Hengjian, Guoying Li, Vladimir Spokoiny, Kalok Chan, Ming Chung Li, …
no link
Nonparametric Estimation and Symmetry Tests for Conditional Density Functions
published 2002 · Journal of nonparametric statistics · 141 citations
with Rob J. Hyndman
Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis
published 2002 · Journal of Business and Economic Statistics · 5761 citations · first circulated 1992
Bootstrap estimation of actual significance levels for tests based on estimated nuisance parameters
published 2001 · Statistics and Computing · 1 citations
A Conditional Density Approach to the Order Determination of Time Series
published 2001 · Statistics and Computing · 4 citations
Smoothing for Discrete-Valued Time Series
published 2001 · Journal of the Royal Statistical Society Series B (Statistical Methodology) · 6 citations
with Zongwu Cai, Wenyang Zhang
Functional-Coefficient Regression Models for Nonlinear Time Series
published 2000 · Journal of the American Statistical Association · 552 citations
Conditional Minimum Volume Predictive Regions for Stochastic Processes
published 2000 · Journal of the American Statistical Association · 47 citations
Methods for Estimating a Conditional Distribution Function
published 1999 · Journal of the American Statistical Association · 35 citations
with Peter Hall, Rodney Wolff
Empirical Transform Estimation for Indexed Stochastic Models
published 1999 · Journal of the Royal Statistical Society Series B (Statistical Methodology) · 12 citations
with Byron J. T. Morgan
Cross-validatory bandwidth selections for regression estimation based on dependent data
published 1998 · Journal of Statistical Planning and Inference · 41 citations
Linearity testing using local polynomial approximation
published 1998 · Journal of Statistical Planning and Inference · 120 citations · first circulated 1996
with Vidar Hjellvik, Dag Tjøstheim
A bootstrap detection for operational determinism
published 1998 · Physica D Nonlinear Phenomena · 13 citations
Asymmetric least squares regression estimation: A nonparametric approach
published 1996 · Journal of nonparametric statistics · 167 citations
Quantifying the Influence of Initial Values on Non-Linear Prediction
published 1994 · Journal of the Royal Statistical Society Series B (Statistical Methodology) · 73 citations
Boundary-crossing probabilities of some random fields related to likelihood ratio tests for epidemic alternatives
published 1993 · Journal of Applied Probability · 8 citations
Tests for change-points with epidemic alternatives
published 1993 · Biometrika · 83 citations
Asymptotically optimal ditiction of a change in a linear model
published 1993 · Sequential Analysis · 14 citations
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