Publications

Results 1-37 of 37 (Search time: 0.003 seconds).

Issue DateTitleAuthor(s)RelationscopusWOSFulltext/Archive link
12023A bootstrap test for threshold effects in a diffusion processHeiko Rachinger; Edward MH Lin; Henghsiu Tsai COMPUTATIONAL STATISTICS 39, 2859-2872
22022Non-Stationary Dynamic Pricing Via Actor-Critic Information-Directed PricingPo-Yi Liu; Chi-Hua Wang; Henghsiu Tsai arXiv:2208.09372 [stat.ML], 1-24
32022Technical Note—On Matrix Exponential Differentiation with Application to Weighted Sum DistributionsMilan Kumar Das; Henghsiu Tsai ; Ioannis Kyriakou; Gianluca FusaiOperations Research 70(4), 1984-1995
42021Non-parametric estimation of conditional tail expectation for long-horizon returnsHwai-Chung Ho ; Hung-Yin Chen; Henghsiu Tsai Statistica Sinica 31(1), 547-569
52020Chapter 72: Non-Parametric Inference on Risk Measures for Integrated ReturnsHenghsiu Tsai ; Hwai-Chung Ho ; Hung-Yin ChenHandbook of Financial Econometrics, Mathematics, Statistics, and Machine Learning (World Scientific Publishing Company)
62020Approximate Maximum Likelihood Estimation of A Threshold Diffusion ProcessTing-Hung Yu; Henghsiu Tsai ; Heiko RachingerCOMPUTATIONAL STATISTICS & DATA ANALYSIS 142, 106823
72019Detection of Differential Item Functioning via the Credible Intervals and Odds Ratios MethodsYa-Hui Su; Henghsiu Tsai Quantitative Psychology Research (PROMS 265) (Cham : Springer)
82018Using Credible Intervals to Detect Differential Item Functioning in IRT ModelsYa-Hui Su; Joyce Chang; Henghsiu Tsai Quantitative Psychology Research (Vol. 233) (Switzerland : Springer)
92018Inference of bivariate long-memory aggregate time seriesHenghsiu Tsai ; Heiko Rachinger; Kung-Sik ChanSTATISTICA SINICA 28, 399-421
102017Using credible intervals to detect dierential item functioning in IRT modelsYa-Hui Su; Joyce Chang; Henghsiu Tsai 
112017Approximate Maximum Likelihood Estimation of A Threshold Diffusion ProcessHenghsiu Tsai ; Ting-Hung Yu
122016Value at risk for integrated returns and its applications to equity portfoliosHwai-Chung Ho ; Hung-Yin Chen; Henghsiu Tsai Statistica Sinica 26(4), 1631-1648
132016A Three-Parameter Speeded Item Response Model: Estimation and ApplicationJoyce Chang; Henghsiu Tsai ; Ya-Hui Su; Edward M. H. LinQuantitative Psychology Research - The 80th Annual Meeting of the Psychometric Society, Beijing, 2015 (Switzerland : Springer International Publishing)
142014On the ruin time for risk reserve processes when the claims have infinite expectationTsung-Lin Cheng; Henghsiu Tsai Journal of the Chinese Statistical Association 52(4), 435-448
152013Asymptotic behavior of temporal aggregates in the frequency domainHassler, Uwe; Tsai, Henghsiu Journal of Time Series Econometrics 5(1), 47-60
162012Inference of seasonal long-memory aggregate time seriesChan, Kung-Sik; Tsai, Henghsiu Bernoulli 18(4), 1448-1464.
172011Testing for measurement errors with discrete-time data sampled from a CARMA modelTsai, Henghsiu ; Chan, Kung-Sik; Fayard, PatrickStatistics and Its Interface 4(2), 235-242
182010Constrained factor modelsTsai, Henghsiu ; Tsay, Ruey S.JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION 105(492), 1593-1605
192009Semiparametric inference for seasonal long-memory time series using generalized exponential modelsHsu, Nan-Jung; Tsai, Henghsiu Journal of Statistical Planning and Inference 139, 1992-2009
202009A note on the non-negativity of continuous-time ARMA and GARCH processesTsai, Henghsiu ; Chan, Kung-SikStatistics and Computing 19, 149-153
212009On continuous time autoregressive fractionally integrated moving average processesTsai, Henghsiu Bernoulli 15, 178-194
222008A note on inequality constraints in the GARCH modelTsai, Henghsiu ; Chan, Kung-SikEconometric Theory 24,  823-828
232007A note on non-negative ARMA processesTsai, Henghsiu ; Chan, Kung-SikJournal of Time Series Analysis 28(3), 350-360
242006Quasi-maximum likelihood estimation of long-memory limiting aggregate processesTsai, Henghsiu Statistica Sinica 16, 213-226
252005Temporal aggregation of stationary and non-stationary continuous-time processesTsai, Henghsiu ; Chan, Kung-SikScandinavian Journal of Statistics 32, 583-597
262005Maximum likelihood estimation of linear continuous time long memory processes with discrete time dataTsai, Henghsiu ; Chan, Kung-SikJOURNAL OF THE ROYAL STATISTICAL SOCIETY SERIES B-STATISTICAL METHODOLOGY 67, 703-716
272005A note on non-negative continuous time processesTsai, Henghsiu ; Chan, Kung-SikJOURNAL OF THE ROYAL STATISTICAL SOCIETY SERIES B-STATISTICAL METHODOLOGY 67, 589-597
282005Quasi-maximum likelihood estimation for a class of continuous-time long-memory processesTsai, Henghsiu ; Chan, Kung-SikJournal of Time Series Analysis 26, 691-713
292005Temporal aggregation of stationary and nonstationary discrete-time processesTsai, Henghsiu ; Chan, Kung-SikJournal of Time Series Analysis 26, 613-624
302003A note on parameter differentiation of matrix exponentials, with applications to continuous-time modelling.Tsai, Henghsiu ; Chan, Kung-SikBernoulli 9, 895-919
312002A note on testing for nonlinearity with partially observed time seriesTsai, Henghsiu ; Chan, Kung-SikBiometrika 89, 245-250
322000Testing for nonlinearity with partially observed time seriesTsai, Henghsiu ; Chan, Kung-SikBiometrika 87, 805-821
332000A note on the covariance structure of a continuous-time ARMA processTsai, Henghsiu ; Chan, Kung-SikStatistica Sinica 10, 989-998
342000Comparison of two discretization methods for estimating continuous-time autoregressive modelsTsai, Henghsiu ; Chan, Kung-SikStatistics and Finance: An Interface (London : Imperial College)
35-Inference of Seasonal Long-memory Time Series with Measurement ErrorTsai, Henghsiu ; Rachinger, Heiko; Lin, Edward Meng-HuaInference of Seasonal Long-memory Time Series with Measurement Error
36-Inference of bivariate long-memory aggregate time seriesTsai, Henghsiu ; Rachinger, Heiko; Chan, Kung-SikInference of bivariate long-memory aggregate time series
37-Doubly Constrained Factor Models with ApplicationsTsai, H. ; Tsay, R. S.; Lin, E. M. H.; Cheng, C. W.Doubly Constrained Factor Models with Applications