Yuefeng Han

Publications and Preprints

• Rong Chen, Yuefeng Han, Zebang Li, Han Xiao, Dan Yang and Ruofan Yu (2022). Analysis of Tensor Time Series: tensorTS. Submitted.

• Yuefeng Han, Cun-Hui Zhang and Rong Chen (2022). CP Factor Model for Dynamic Tensors. Under revision at the Journal of the Royal Statistical Society, Series B (Statistical Methodology).

• Yuefeng Han and Cun-Hui Zhang (2022). Tensor Principal Component Analysis in High Dimensional CP Models. IEEE Transactions on Information Theory, to appear.

• Han Xiao, Yuefeng Han, Rong Chen and Chengcheng Liu (2022). Reduced Rank Autoregressive Models for Matrix Time Series. Journal of Business & Economic Statistics, to appear.

• Yuefeng Han, Pinhan Chen and Wei Biao Wu (2022). Interval Forecasts for High-dimensional Time Series. Preprint.

• Yuefeng Han, Rong Chen, Cun-Hui Zhang and Qiwei Yao (2022). Simultaneous Decorrelation of Matrix Time Series. Under revision at Journal of American Statistical Association.

• Yuefeng Han, Rong Chen and Cun-Hui Zhang (2022). Rank Determination in Tensor Factor Model. Electronic Journal of Statistics, 16(1): 1726-1803.

• Yuefeng Han, Rong Chen, Dan Yang and Cun-Hui Zhang (2021). Tensor Factor Model Estimation by Iterative Projection. Under revision at the Annals of Statistics.

• Yuefeng Han, Ruey S. Tsay and Wei Biao Wu (2021). High Dimensional Generalized Linear Models for Temporal Dependent Data. Bernoulli, to appear.

• Yuefeng Han, Likai Chen and Wei Biao Wu (2020). Sparse Nonlinear Vector Autoregressive Models. Under revision at Journal of Machine Learning Research.

• Yuefeng Han and Wei Biao Wu (2020). Test for High Dimensional Covariance Matrices. Annals of Statistics, 48(6): 3565–3588.

• Yuefeng Han and Ruey S. Tsay (2020). High-dimensional Linear Regression for Dependent Data with Applications to Now-casting. Statistica Sinica, 30: 1797–1827.

• Wei Biao Wu, Zhipeng Lou and Yuefeng Han (2018). Hypothesis Testing for High-Dimensional Data. Handbook of Big Data Analytics, Springer.

• Jiali Wang, Yuefeng Han, Michael Stein, Veerabhadra R. Kotamarthi and Whitney Huang (2016). Evaluation of Dynamically Downscaled Extreme Temperature using a Spatially-aggregated Generalized Extreme Value (GEV) Model. Climate Dynamics, 47(9): 2833-2849.

Software

tensorTS

• R package (with Zebang Li, Ruofan Yu, Rong Chen, Han Xiao, Dan Yang)

• Title: Factor and Autoregressive Models for Tensor Time Series. Manual

Talks

• Dynamic tensor factor model based on CP decomposition.
  Invited talk at Joint Statistical Meetings (JSM), August 2021

• High dimensional sparse nonlinear vector autoregressive models.
  Invited talk at Joint Statistical Meetings (JSM), August 2020

• Robust estimation of high dimensional generalized linear models for dynamically dependent data.
  Invited talk at Statistics Seminar, University of Illinois at Urbana-Champaign, September 20, 2018

• High-dimensional linear regression for dependent data with applications to nowcasting.
  Invited talk at ICSA Applied Statistics Symposium, Chicago, June 2017

• High-dimensional linear regression for dependent data with applications to nowcasting.
  Poster presentation at 2017 NBER-NSF Time Series Conference, Northwestern University, September, 2017