13 citations · 36 across the 7 of their papers we have counts for
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stat.ME2021★ 13 cited
Testing for threshold effects in the TARMA framework
Greta Goracci, Simone Giannerini, Kung-Sik Chan +1
We present supremum Lagrange Multiplier tests to compare a linear ARMA specification against its threshold ARMA extension. We derive the asymptotic distribution of the test statist…
stat.ME2012★ 1 cited
Discussion of "Feature Matching in Time Series Modeling" by Y. Xia and H. Tong
Kung-Sik Chan, Ruey S. Tsay
Discussion of "Feature Matching in Time Series Modeling" by Y. Xia and H. Tong [arXiv:1104.3073]
stat.ME2012★ 1 cited
Reduced rank regression via adaptive nuclear norm penalization
Kun Chen, Hongbo Dong, Kung-Sik Chan
Adaptive nuclear-norm penalization is proposed for low-rank matrix approximation, by which we develop a new reduced-rank estimation method for the general high-dimensional multivar…