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  • 刘行
  • 特任副教授
  • hliu01@ustc.edu.cn
  • 统计与金融系
  • 概率与统计
English


EDUCATION

PhD Statistics, Department of Mathematics and Statistics, Lancaster University      10/2017 – 03/2021

Funded by ESRC AQM Pathway

PhD Thesis title: Contributions to Robust Estimation in Time Series



RESEARCH INTEREST

Rank-based estimation/test, Measure transportation theory, M-estimation, Time series, Generalized dynamic factor models.


PUBLICATIONS

1. Center-outward R-estimation for semiparametric VARMA models (with M. Hallin、D. La Vecchia), 2022,  Journal of the American Statistical Association.

2. R-estimators in GARCH models: asymptotics and applications (with K. Mukherjee), 2022, The Econometrics Journal.

3. Rank-based testing for semiparametric VAR models: a measure transportation approach (with M. Hallin、D. La Vecchia), 2023, Bernoulli.

4. Center-outward Rank-and Sign-based VARMA Portmanteau Tests (with M. Hallin), 2023, Econometrics and Statistics.

5. M-estimation in GARCH Models in the Absence of Higher-Order Moments (with M. Hallin and K. Mukherjee), 2023, Research Papers in Statistical Inference for Time Series and Related Models: Essays in Honor of Masanobu Taniguchi, Springer.

6. Some Novel Aspects of Quantile Regression: local stationarity, random forests and optimal transportation. Recent Advances in Econometrics and Statistics - Festschrift in Honour of Marc Hallin, To appear.

7. Nonparametric Measure-Transportation-Based Methods for Directional Data (with M. Hallin and T. Verdebout), Journal of the Royal Statistical Society, Series B, To appear.

8. General Spatio-Temporal Factor Models for High-Dimensional Random Fields on a Lattice (with M. Barigozzi and D. La Vecchia), Annals of Statistics, Major revision.


WORKING PAPERS

1. Inference via robust optimal transportation: theory and methods (with Y.M. Ma, D. La Vecchia and M. Lerasle), arXiv preprint arXiv:2301.06297. 

2. Quantiles, ranks and signs in metric spaces (with X.Q. Wang and J. Zhu), arXiv preprint arXiv:2209.04090.




PRESENTATIONS

Invited conference talks:

2020, STOR-i workshop on time-series and spatial statistics, Lancaster, UK.

2018, ITISE 2018 (International conference on Time Series and Forecasting), Granada, Spain.

2018, SIAM National Student Chapter Conference 2018, Bath, UK.

2017, LaWa workshop 2017, Lancaster, UK.      


PROFESSIONAL SERVICES

Journal refereeing: Journal of the American Statistical Association, Journal of Multivariate Analysis, Biometrika


OVERSEAS INSTITUTION VISIT

2019, Research Center for Statistics, University of Geneva







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