教师介绍
姓名: 李渊博
系别:数量金融系
职称: 讲师
电子邮件: liyuanbo@uibe.edu.cn
教育背景:
中山大学数学与计算科学学院 统计学学士
香港中文大学 统计学博士
工作经历:
对外经济贸易大学统计学院
研究生导师,国际特许金融分析师(CFA)
研究领域:
时间序列数据分析,变点检测,高维数据分析,机器学习
科研文章:
Ng, C. T., Yau. C. Y., Li. Y.(Corresponding author) and Qin. L. Threshold models for high-dimensional nonlinear time series with network structure, (Submitted)
Li. Y., Chan. C. K., Yau, C. Y., Ng, W. L. and Lam, H. (2024). Burn-in selection in simulating time series, Computational Statistics & Data Analysis, 192, 107886 (SCI)
Li, Y., Chen, K., Zheng, X and Yau,C. Y. (2022). Functional Threshold Autoregressive Model, Statistica Sinica, 34(2) (SCI)
Li, Y., Ng, C. T and Yau, C. Y. (2022) GARCH-type factor model, Journal of Multivariate Analysis, 190,105001 (SCI)
Li. Y., Chan N. H., Yau C. Y and Zhang R. (2021) Group orthogonal greedy algorithm for change-point estimation of multivariate time series, Journal of Statistical Planning and Inference, 212, 14-33 (SCI)
Li, Y., Zheng, X and Yau, C. Y. (2019) Generalized threshold latent variable model, Electronic Journal of Statistics, 3, 2043-2092 (SCI)
Chan, N.H., Ing, C. K., Li, Y and Yau, C.Y. (2017). Threshold Estimation via Group Orthogonal Greedy Algorithm, Journal of Business and Economic Statistics, 35, 334- 345 (co-first author, SSCI)
基金项目:
主持国家自科基金青年项目
参与国家自科基金面上项目(成员排名第二)、国家社科重大项目