42 citations · 107 across the 9 of their papers we have counts for
6 papers · 1 filter
Marked empirical processes for non-stationary time series
Ngai Hang Chan, Rongmao Zhang
Consider a first-order autoregressive process where and are i.i.d. random variables. Motiva…
Uniform moment bounds of Fisher's information with applications to time series
Ngai Hang Chan, Ching-Kang Ing
In this paper, a uniform (over some parameter space) moment bound for the inverse of Fisher's information matrix is established. This result is then applied to develop moment bound…
On Parameter Estimation of Threshold Autoregressive Models
Ngai Hang Chan, Yury A. Kutoyants
This paper studies the threshold estimation of a TAR model when the underlying threshold parameter is a random variable. It is shown that the Bayesian estimator is consistent and i…
Residual empirical processes for long and short memory time series
Ngai Hang Chan, Shiqing Ling
This paper studies the residual empirical process of long- and short-memory time series regression models and establishes its uniform expansion under a general framework. The resul…
Asymptotic theory of least squares estimators for nearly unstable processes under strong dependence
Boris Buchmann, Ngai Hang Chan
This paper considers the effect of least squares procedures for nearly unstable linear time series with strongly dependent innovations. Under a general framework and appropriate sc…
Fractional constant elasticity of variance model
Ngai Hang Chan, Chi Tim Ng
This paper develops a European option pricing formula for fractional market models. Although there exist option pricing results for a fractional Black-Scholes model, they are estab…