← All authors Wei Biao Wu University of Chicago (from arXiv:2511.18641, 2025) · ORCID · OpenAlex
108 papers in scope · 106 published · 3 on the econ.EM arXiv · 4,346 citations · h-index 34 (over the papers listed here)
Related authors The 20 authors closest to this one in our weighted citation graph, most related first.
Sayar Karmakar Kejin Wu Stefan Richter Timo Teräsvirta Niklas Ahlgren Alexander Back Marek Chudý George Michailidis Jiahe Lin Donald W. K. Andrews Likai Chen Jia Chen Chen Jia George Kapetanios Georg Keilbar Degui Li Liangjun Su Yuning Li Li Yu-ning Yiren Wang 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 (7 of 108)
Central Limit Theorems for Stochastic Gradient Descent Quantile Estimators
published 2026 · IEEE Transactions on Information Theory
Simultaneous Inference for Covariance and Precision Matrices of Long-Range Dependent Time Series
published 2026 · IEEE Transactions on Information Theory
with Percy S. Zhai, Mladen Kolar
Sharp Concentration Analysis of Online Stochastic Approximation Algorithms
published 2026 · IEEE Transactions on Information Theory
with Danna Zhang, Zhipeng Lou
Kernel smoothing method for detecting fixed and random mean change in multivariate data
published 2025 · Sequential Analysis
with Yanhong Wu, Dong-Yun Kim
published 2025 · IEEE Transactions on Information Theory
The effect of income smoothing on crash risk: A cross-country analysis
published 2025 · International Review of Economics & Finance · 2 citations
with Zhongyi Xiao, G. Zhang, Yuxiang Zhong
Global risk contagion and financial assets security: evidence from quantile connectedness approach
published 2025 · Finance research letters · 1 citations
with Dian Yin, Shaoze Yang, Cheng Zhi
Optimal Multivariate EWMA Chart for Detecting Common Change in Mean
published 2025 · Methodology And Computing In Applied Probability · 1 citations
with Yanhong Wu
Spectral Norm of Exponentially Weighted Moving Sample Covariance Matrix and Its Application to Sequential Sparse Signal Detection
published 2025 · Journal of Statistical Theory and Practice · 1 citations
with Yanhong Wu, Dong-Yun Kim
High-dimensional Simultaneous Inference of Quantiles
published 2025 · Sankhya A
with Zhipeng Lou
Change-point analysis with irregular signals
published 2024 · The Annals of Statistics · 2 citations
with Tobias Kley, Y. Liu, Hongyuan Cao
A comparative study on sequential detection of random mean change in multivariate normal data stream
published 2024 · Sequential Analysis · 2 citations
with Yanhong Wu, Dong-Yun Kim
Gaussian approximation for nonstationary time series with optimal rate and explicit construction
published 2024 · The Annals of Statistics · 2 citations
ℓ2 inference for change points in high-dimensional time series via a Two-Way MOSUM
published 2024 · The Annals of Statistics · 3 citations · first circulated 2022
published 2024 · Journal of Econometrics · 6 citations · first circulated 2022
working paper 2023 · arXiv · 2 citations
√2-estimation for smooth eigenvectors of matrix-valued functions
published 2023 · Biometrika · 5 citations
with Giovanni Motta, Mohsen Pourahmadi
Testing for parameter change epochs in GARCH time series
published 2023 · Econometrics Journal · 6 citations · first circulated 2021
High-dimensional analysis of variance in multivariate linear regression
published 2023 · Biometrika · 3 citations
with Zhipeng Lou, Xianyang Zhang
High dimensional generalized linear models for temporal dependent data
published 2022 · Bernoulli · 9 citations
Mask and Reason
published 2022 · Proceedings of the 28th ACM SIGKDD Conference on Knowledge Discovery and Data Mining · 38 citations
with Xiao Liu, Shiyu Zhao, Kai Su, Yukuo Cen, Jiezhong Qiu, Mengdi Zhang, Yuxiao Dong, Jie Tang
Sequential common rate decrease detection, isolation, and estimation in multiple Poisson processes
published 2022 · Journal of Statistical Computation and Simulation · 2 citations
with Yanhong Wu
Sequential common change detection, isolation, and estimation in multiple compound Poisson processes
published 2022 · Sequential Analysis · 2 citations
with Yanhong Wu, Dong-Yun Kim
Sequential detection of common transient signals in high dimensional data stream
published 2021 · Naval Research Logistics (NRL) · 5 citations
with Yanhong Wu
Testing and estimation for clustered signals
published 2021 · Bernoulli · 1 citations
with Hongyuan Cao
published 2021 · Journal of Time Series Analysis · 1 citations
Estimation of nonstationary nonparametric regression model with multiplicative structure
published 2021 · Econometrics Journal · 4 citations
Online Covariance Matrix Estimation in Stochastic Gradient Descent
published 2021 · Journal of the American Statistical Association · 32 citations · first circulated 2020
Inference of Breakpoints in High-dimensional Time Series
published 2021 · Journal of the American Statistical Association
published 2021 · Journal of Econometrics · 3 citations
Convergence of covariance and spectral density estimates for high-dimensional locally stationary processes
published 2021 · The Annals of Statistics · 36 citations
with Danna Zhang
Asymptotic theory for QMLE for the real‐time GARCH(1,1) model
published 2020 · Journal of Time Series Analysis · 8 citations · first circulated 2019
Test for high dimensional covariance matrices
published 2020 · The Annals of Statistics · 9 citations
Sharp connections between Berry-Esseen characteristics and Edgeworth expansions for stationary processes
published 2020 · Transactions of the American Mathematical Society · 8 citations
with Moritz Jirak, Ou Zhao
Central limit theorems for nearly long range dependent subordinated linear processes
published 2020 · Journal of Applied Probability · 2 citations
with Martin Wendler
Dynamic Semiparametric Factor Model With Structural Breaks
published 2020 · Journal of Business and Economic Statistics · 9 citations · first circulated 2017
Pearson’s chi-squared statistics: approximation theory and beyond
published 2019 · Biometrika · 17 citations
with Mengyu Xu, Danna Zhang
Towards a general theory for nonlinear locally stationary processes
published 2019 · Bernoulli · 12 citations
working paper 2018 · arXiv · 1 citations
Testing for Trends in High-Dimensional Time Series
published 2018 · Journal of the American Statistical Association · 20 citations
Concentration inequalities for empirical processes of linear time series
published 2018 · Journal of Machine Learning Research · 11 citations
no link
Asymptotic Theory for Estimators of High-Order Statistics of Stationary Processes
published 2017 · IEEE Transactions on Information Theory · 13 citations
with Danna Zhang
Gaussian approximation for high dimensional time series
published 2017 · The Annals of Statistics · 155 citations · first circulated 2015
with Danna Zhang
Simultaneous Confidence Bands in Nonlinear Regression Models with Nonstationarity
published 2017 · Statistica Sinica · 2 citations · first circulated 2015
ASYMPTOTIC THEORY FOR SPECTRAL DENSITY ESTIMATES OF GENERAL MULTIVARIATE TIME SERIES
published 2017 · Econometric Theory · 35 citations
An asymptotic theory for spectral analysis of random fields
published 2017 · Electronic Journal of Statistics · 9 citations
with Soudeep Deb, Mohsen Pourahmadi
Regularized Estimation of Linear Functionals of Precision Matrices for High-Dimensional Time Series
published 2016 · IEEE Transactions on Signal Processing · 23 citations · first circulated 2015
with Xiaohui Chen, Mengyu Xu, Xiaohong Chen
Self-normalized Cramér-type moderate deviations under dependence
published 2016 · The Annals of Statistics · 38 citations · first circulated 2014
with Xiaohong Chen, Qi-Man Shao, Lihu Xu
Stability and asymptotics for autoregressive processes
published 2016 · Electronic Journal of Statistics · 5 citations
Changepoint estimation: another look at multiple testing problems
published 2015 · Biometrika · 30 citations
with Hongyuan Cao
Discussion of “High-dimensional autocovariance matrices and optimal linear prediction”
published 2015 · Electronic Journal of Statistics
PARAMETRIC SPECIFICATION TEST FOR NONLINEAR AUTOREGRESSIVE MODELS
published 2014 · Econometric Theory · 7 citations
Covariance Matrix Estimation (High‐Dimensional)
published 2014 · Wiley StatsRef: Statistics Reference Online · 9 citations · first circulated 2012
with Mohsen Pourahmadi
Covariance Matrix Estimation (Estimated Parameters)
published 2014 · Wiley StatsRef: Statistics Reference Online · first circulated 2012
Spherical Regression Models Using Projective Linear Transformations
published 2014 · Journal of the American Statistical Association · 27 citations
with Michael Rosenthal, Eric Klassen, Anuj Srivastava
Recursive Nonparametric Estimation for Time Series
published 2014 · IEEE Transactions on Information Theory · 27 citations
Sequential LND sensitivity test for binary response data
published 2013 · Journal of Applied Statistics · 4 citations
with Lei Wang, Yukun Liu, Xiaolong Pu
Exact moderate and large deviations for linear processes
published 2013 · Statistica Sinica · 14 citations
with Magda Peligrad, Hailin Sang, Yunda Zhong, Magda Peligrada
Asymptotic theory for maximum deviations of sample covariance matrix estimates
published 2013 · Stochastic Processes and their Applications · 32 citations
with Xiao Han
Portmanteau test and simultaneous inference for serial covariances
published 2013 · Statistica Sinica · 30 citations
with Xiao Han
Block sampling under strong dependence
published 2013 · Stochastic Processes and their Applications · 17 citations
Probability and moment inequalities under dependence
published 2012 · Statistica Sinica · 60 citations
with Weidong Liu, Xiao Han
A central limit theorem for stationary random fields
published 2012 · Stochastic Processes and their Applications · 83 citations · first circulated 2011
with Mohamed El Machkouri, Dalibor Volný
Inference of time-varying regression models
published 2012 · The Annals of Statistics · 99 citations
with Ting Zhang
Covariance matrix estimation for stationary time series
published 2012 · The Annals of Statistics · 120 citations
with Xiao Han
Testing for Parallelism Among Trends in Multiple Time Series
published 2011 · IEEE Transactions on Signal Processing · 26 citations · first circulated 2010
Asymptotics for statistical functionals of long-memory sequences
published 2011 · Stochastic Processes and their Applications · 14 citations
Testing parametric assumptions of trends of a nonstationary time series
published 2011 · Biometrika · 55 citations
with Ting Zhang
A Single-Pass Algorithm for Spectrum Estimation With Fast Convergence
published 2011 · IEEE Transactions on Information Theory · 5 citations
with Xiao Han
Gaussian approximations for non-stationary multiple time series
published 2011 · Statistica Sinica · 72 citations
with Zhou Zhou
Asymptotic theory for stationary processes
published 2011 · Statistics and Its Interface · 117 citations
On linear models with long memory and heavy-tailed errors
published 2010 · Journal of Multivariate Analysis · 11 citations
with Zhou Zhou
Kernel estimation for time series: An asymptotic theory
published 2010 · Stochastic Processes and their Applications · 34 citations
with Yinxiao Huang, Yibi Huang
Simultaneous Inference of Linear Models with Time Varying Coefficients
published 2010 · Journal of the Royal Statistical Society Series B (Statistical Methodology) · 110 citations
with Zhou Zhou
Non-stationary structural model with time-varying demand elasticities
published 2010 · Journal of Statistical Planning and Inference · 10 citations
published 2010 · IEEE Transactions on Information Theory · 26 citations
Covariances Estimation for Long-Memory Processes
published 2010 · Advances in Applied Probability · 18 citations
with Yinxiao Huang, Wei Zheng
ASYMPTOTICS OF SPECTRAL DENSITY ESTIMATES
published 2009 · Econometric Theory · 100 citations
with Weidong Liu
Efficient estimation of copula-based semiparametric Markov models
published 2009 · The Annals of Statistics · 72 citations
On nonparametric prediction of linear processes
published 2009 · Journal of Time Series Analysis · 2 citations
with Jan Mielniczuk, Zhou Zhou
Nonparametric inference of discretely sampled stable Lévy processes
published 2009 · Journal of Econometrics · 22 citations
with Zhibiao Zhao
Quantile Curve Estimation and Visualization for Nonstationary Time Series
published 2009 · Journal of Computational and Graphical Statistics · 36 citations
with Dana Draghicescu, Serge Guillas
Confidence bands in nonparametric time series regression
published 2008 · The Annals of Statistics · 70 citations
with Zhibiao Zhao
An asymptotic theory for sample covariances of Bernoulli shifts
published 2008 · Stochastic Processes and their Applications · 30 citations
On false discovery control under dependence
published 2008 · The Annals of Statistics · 96 citations
Kernel Conditional Quantile Estimation for Stationary Processes with Application to Conditional Value-at-Risk
published 2007 · Journal of Financial Econometrics · 9 citations
with Keming Yu, Gautam Mitra
Inference of Trends in Time Series
published 2007 · Journal of the Royal Statistical Society Series B (Statistical Methodology) · 176 citations
with Zhibiao Zhao
LOCAL WHITTLE ESTIMATION OF FRACTIONAL INTEGRATION FOR NONLINEAR PROCESSES
published 2007 · Econometric Theory · 51 citations
A LIMIT THEOREM FOR QUADRATIC FORMS AND ITS APPLICATIONS
published 2007 · Econometric Theory · 32 citations
M-estimation of linear models with dependent errors
published 2007 · The Annals of Statistics · 107 citations
Inference of trends in time series Series B Statistical methodology
published 2007 · Journal of the Royal Statistical Society Series A (Statistics in Society)
with Zhibiao Zhao
no link
Asymptotic theory for curve-crossing analysis
published 2006 · Stochastic Processes and their Applications · 6 citations
with Zhibiao Zhao
Local asymptotic powers of nonparametric and semiparametric tests for fractional integration
published 2006 · Stochastic Processes and their Applications · 4 citations
UNIT ROOT TESTING FOR FUNCTIONALS OF LINEAR PROCESSES
published 2005 · Econometric Theory · 50 citations
Nonlinear system theory: Another look at dependence
published 2005 · Proceedings of the National Academy of Sciences · 598 citations
On the Bahadur representation of sample quantiles for dependent sequences
published 2005 · The Annals of Statistics · 125 citations
On linear processes with dependent innovations
published 2005 · Stochastic Processes and their Applications · 108 citations
with Wanli Min
Limit theorems for iterated random functions
published 2004 · Journal of Applied Probability · 208 citations
Martingale approximations for sums of stationary processes
published 2004 · The Annals of Probability · 129 citations
with Michael Woodroofe
Nonparametric estimation of large covariance matrices of longitudinal data
published 2003 · Biometrika · 307 citations
Empirical processes of long-memory sequences
published 2003 · Bernoulli · 59 citations
Kernel density estimation for linear processes
published 2002 · The Annals of Statistics · 99 citations
with Jan Mielniczuk
Isotonic regression: Another look at the changepoint problem
published 2001 · Biometrika · 98 citations
A central limit theorem for iterated random functions
published 2000 · Journal of Applied Probability · 39 citations
with Michael Woodroofe
On the strong convergence of a weighted sum
published 1999 · Statistics & Probability Letters · 38 citations
Inference for heavy tailed distributions
published 1998 · Journal of Statistical Planning and Inference · 13 citations
with Krishna B. Athreya, Soumendra N. Lahiri
Numerical Experiments with Iteration and Aggregation for Markov Chains
published 1992 · INFORMS journal on computing · 44 citations
with William J. Stewart
Multiple regression on stable vectors
published 1992 · Journal of Multivariate Analysis · 15 citations
with Stamatis Cambanis
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