Research Staff

何淮中

Hwai-Chung Ho

Institute of Statistical Science Academia Sinica
Taipei 11529, Taiwan, R.O.C.
Tel: 886-2-27835611 ext. 112
FAX : 886-2-27831523
E-mail: hcho@stat.sinica.edu.tw


 

Research Areas

  • Stochastic process and time series analysis, large sample theory, applied probability

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Education

1970-1974

B.S., Mathematics, Soochow University

1978-1984

PhD, Mathematics, Wayne State University, U.S.A.

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Professional Experience

1998 - present

Professor, Department of Finance, National Taiwan University.

1997 - present

Research Fellow, Institute of Statistical Science, Academia Sinica.

1991 - 1992

Full Professor, Institue of Appied Mathematics, National Sun Yat-sen University.

1984 - 1997

Associate Research Fellow, Institute of Statistical Science, Academia Sinica.

1988 - 1991

Associate Professor, Institute of Applied Mathematics, National Sun Yat-sen University

 

Honors and Awards

 

Research scholarship awarded by National Science Council, R.O.C.,since 1984.

Bharucha-Reid Outstanding Ph.D. Award of Wayne State University, 1986.

Outstanding Teacher Award, School of Liberal Arts, National Sun Yat-sen University, 1990.

Outstanding Young Scholar Research Award, Academia Sinica, R.O.C.,1997. Outstanding Research Award, National Science Council, R.O.C.,1997.

Outstanding Research Award, National Science Council, R.O.C.,2000.

Outstanding Service Award 2008, International Chinese Statistical Association.

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Publications

  1. T. C. Sun and Hwai-Chung Ho (1986). Limit theorems of non-linear

    functions for stationary Gaussian processes.  Dependence in

    Probability and Statistics, edited by E. Eberlein and   M. Taqqu,

    1-17 , Birkhauser. 

2. Hwai-Chung Ho and T. C. Sun (1987). A central limit theorem of non-instantaneous filters for a stationary Gaussian process.  Journal of Multivariate Analysis 22,144-155.  

3. Hwai-Chung Ho and Chao-Min Hsu (1990). Limiting distributions for non-linear functions of stationary Gaussian processes with multiplicative noise (Chinese).  Journal of Chinese Statistical Association 28, 185-196.

4. Hwai-Chung Ho and T. C. Sun (1990). Limiting distributions of non-linear vector functions of stationary Gaussian processes.

  Annals of Probability 18, 1159-1173.

5. Hwai-Chung Ho and T. C. Sun (1991). A mixture type of limit theorem

for non-linear functions of Gaussian sequences. Journal of

Theoretical Probability 4}, 407-415.

6. Hwai-Chung Ho (1992). A non-central limit theorem for non-linear

functions of Gaussian  processes with  φ -mixing multiplicative

noise.  Proceedings of the National Science Council - Part A  16, 63-66.

7. Hwai-Chung Ho (1992). On limiting distributions of nonlinear

functions of noisy Gaussian sequences.  Stochastic Analysis and Applications

10, 417-430.

8. Hwai-Chung Ho (1994). A note on the exponential bounds for

sequences of long-range dependence.  Soochow Journal of Mathematics

20, 595-602 . Special issue in memory of late professor Tsing-Huoa Teng.

9. Hwai-Chung Ho (1995). On the strong uniform consistency of density

estimation for strongly dependent sequences.  Statistics and Probability Letters

22, 149-156.

10. Hwai-Chung Ho (1995). The law of the iterated logarithm for non-instantaneous filters of strongly dependent Gaussian sequences.  Journal of  Theoretical Probability 8, 347 360.

11. Hwai-Chung Ho and Tailen Hsing (1996). On the asymptotic joint

distribution of the sum and maximum of stationary normal random variables. 

Journal of Applied Probability 33, 138-145.

12. Hwai-Chung Ho and Tailen Hsing (1996). On the asymptotic expansion of the

 empirical process of long memory moving averages. Annals of Statistics

24 ,992-1024.

13. Hwai-Chung Ho (1996). On central and non-central limit theorems in density estimation for sequences of long range dependence. Stochastic Processes and Their Applications 63, 153-174.

14. K. C. Huang, N. P. Ku, H. E. Liu, H. C. Ho and J. Wei (1996). Study of factors correlated with life quality of heart transplant recipients (Chinese).  Nursing Research 4, 333-344.

15. Hwai-Chung Ho and Tailen Hsing (1997). Limit theorems for functionals

of moving averages. Annals of Probability 25, 1636-1669.

16. Hwai-Chung Ho and Chien-fu Lin (1998). Comments on "Real and spurious long-memory properties of stock market data " by I.  N.  Lobato and N.  E. Savin.  Journal of Business and Economic Statistics 16, 272-273.

 

17. Hwai-Chung Ho (1998).  On almost sure representations for long-memory   sequences.  J.  Korean Math.  Society 35, pp. 741-754.  Special issue for the regional conference of Bernoulli Society, Feb.  1998, Korea.

18. Hwai-Chung Ho (1999).  A note on first passage time of stationary sequences.  Statistica Sinica 9, 725-733.

19. Hwai-Chung Ho and William McCormick (1999). Asymptotic distributions of sum and maximum for Gaussian processes.  Journal of Applied Probability 36, 1031-1044.

20. Hwai-Chung Ho and Tailen Hsing (2000). A decomposition for generalized

U-statistics of long-memory linear processes. In Long-range Dependence: Theory and Applications ,pp. 143-155.  Eds. Doukhan, P., G. Oppenheim and Taqqu, M.,  Birkhauser.

21. Hwai-Chung Ho and Chun-Hsiu Chen (2001). A conversation with Yuan Shih Chow (Chinese) . Journal of Chinese Statistical Association  39, 23 - 44.

  

22. Hwai-Chung Ho (2001). Cointegration and Long-Memory Models, Lecture Notes, Institute of Statistical Science, Academia Sinica.

23. Hwai-Chung Ho (2002). On functionals of linear processes with estimated parameters.  Statistica Sinica 12, 1171-1190.

24. Hwai-Chung Ho, Chun-Hsiu Chen, and Ren-Hau Hsiao (2002). A conversation with George C. Tiao (Chinese). Journal of Chinese Statistical Association 40, 275 - 302.

25. Hwai-Chung Ho and N. J. Hsu (2005). Polynomial trend regression with

 long-memory errors. Journal of Time Series Analysis 26, 323-354.

26.Tsung-Lin Cheng and Hwai-Chung Ho (2005). Asymptotic normality for the

non-linear functionals of non-causal linear processes with summable weights.

 Journal of Theoretical Probability  36, 345-358.

 27. Hwai-Chung Ho and Grace S. Shieh (2006). Two-stage U-statistics for

hypothesis testing. Scandinavian Journal of Statistics 33, 861-873.

28. Hwai-Chung Ho (2006). Estimation errors of the Sharpe ratio for long-memory stochastic volatility models. In H.-C. Ho, C. K. Ing and T. L. Lai, editors, Time Series and Related Topics: in Memory of Ching-Zong Wei, pp. 165-172.  IMS Lecture Notes and Monograph Series Vol. 52.

29. Hwai-Chung Ho, Shih-Chin Lee and Hsiou-Wei Lin (2006). Does the behavior of lottery players exhibit the gambler's fallacy? -- Evidence from the Taiwan lotto  market.  Taiwan Economics Review 34, 417-444.

30. Hwai-Chung Ho, Ching-Kang Ing and Tze Leung Lai (2006). Time Series and Related Topics: in Memory of Ching-Zong Wei.  IMS Lecture Notes and  Monograph Series Vol. 52.

31. Tsung-Lin Cheng and Hwai-Chung Ho (2007). Central limit theorems for

instantaneous filters of linear random fields on Z2. In A. C. Hsiung, Z. Ying and C. H. Zhang, editors, Random Walks, Sequential Analysis and Related Topics- A Festschrift in Honor of Y. S. Chow, pp. 71-84. World Scientific.

32. Hwai-Chung Ho, Tsun-Siou Lee and Hung-Chou Tsai (2007). The pricing measure for geometric Levy processes under incomplete financial markets. To appear in Journal of Financial Studies.

33. Hwai-Chung Ho and Peiyu Yang (2007). A note on the Sharpe

ratio for a class of generalized stochastic volatility processes. To appear in Journal of Chinese Statistical Association 45, 340-354.

34. Tsung-Lin Cheng, Hwai-Chung Ho and Xuenwen Lu (2008). A note on asymptotic normality of kernel density estimation for linear random fields on Z2.  Journal of Theoretical Probability 21, 267-286.

35. Tsung-Lin Cheng and Hwai-Chung Ho (2008). On Berry-Esseen bounds for

noninstantaneous filters of linear processes. Bernoulli 14, 301-321.

 

PUBLICATIONS  ( LAST FIVE YEARS)

 

 1. Hwai-Chung Ho and N. J. Hsu (2005). Polynomial trend regression with

  long-memory errors. Journal of Time Series Analysis 26, 323-354.

2.Tsung-Lin Cheng and Hwai-Chung Ho (2005). Asymptotic normality for the

non-linear functionals of non-causal linear processes with summable weights.

 Journal of Theoretical Probability 36, 345-358.

 3. Hwai-Chung Ho and Grace S. Shieh (2006). Two-stage U-statistics for

hypothesis testing. Scandinavian Journal of Statistics 33, 861-873

4. Hwai-Chung Ho (2006). Estimation errors of the Sharpe ratio for long-memory stochastic volatility models. In H.-C. Ho, C. K. Ing and T. L. Lai, editors, Time Series and Related Topics: in Memory of Ching-Zong Wei, pp. 165-172.  IMS Lecture Notes and Monograph Series Vol. 52. 

5. Hwai-Chung Ho, Shih-Chin Lee and Hsiou-Wei Lin (2006). Does the behavior of lottery players exhibit the gambler's fallacy? -- Evidence from the Taiwan lotto market.  Taiwan Economics Review  34, 417-444.

6. Hwai-Chung ho, Ching-Kang Ing and Tze Leung Lai (2006). Time Series and Related Topics: in Memory of Ching-Zong Wei.  IMS Lecture Notes and  Monograph Series Vol. 52.

7.Tsung-Lin Cheng and Hwai-Chung Ho (2007). Central limit theorems for

instantaneous filters of linear random fields on Z^2. In A. C. Hsiung, Z. Ying and C. H. Zhang, editors, Random Walks, Sequential Analysis and Related Topics- A Festschrift in Honor of Y. S. Chow, pp. 71-84. World Scientific.

8. Hwai-Chung Ho, Tsun-Siou Lee and Hung-Chou Tsai (2007). The pricing measure for geometric Levy processes under incomplete financial markets. To appear in Journal of Financial Studies.

9. Hwai-Chung Ho and Peiyu Yang (2007). A note on the Sharpe ratio for a class of generalized stochastic volatility processes. Journal of Chinese Statistical Association 45, 340-354.

10. Tsung-Lin Cheng, Hwai-Chung Ho and Xuenwen Lu (2008). A note on asymptotic normality of kernel density estimation for linear random fields on Z2.  Journal of Theoretical Probability 21, 267-286.

11. Tsung-Lin Cheng and Hwai-Chung Ho (2008). On Berry-Esseen bounds for

noninstantaneous filters of linear processes. Bernoulli 14, 301-321.

 

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MAJOR RESEARCH ACHIEVEMENTS AND TEN REPRESENTATIVE PUBLICATIONS

   

My primary research interest is the study of long-range dependence. The research in this field began in the 60s when the relationship between long-range dependence and self-similarity was taking shape and explored by the works of Mandelbrot, Dobrushin, and Taqqu, to name a few. However, it has remained somewhat dormant for a long time partly due to a lack of good statistical applications. That changed dramatically in the past 15 years. Nowadays the notion of long-range dependence receives a wide range of applications, from geophysical and economic time series, to computer networks and even genetics.

My research in long-range dependence began in the early 80s. A number of papers published at various stages of my career represented major advancements of the field, and helped shape future research directions. The following highlights my contributions.

  1. The two papers [Ann. Stat., 1996, Ann. Prob. 1997] prove an asymptotic expansion for the partial sum of nonlinear functionals for linear processes with long-range dependence. The martingale decomposition technique in the paper leads to limit theorems in the linear process setting that parallel those in the Gaussian process setting obtained using the Hermite expansion. This resolves a long-standing problem of lacking effective tools outside of the Gaussian domain in the context of long-range dependence. This breakthrough has since influenced the works of a number of other researchers, which includes investigations on problems beyond the long-memory setting.

 

  1. I established a host of asymptotic limit theorems for long-range dependent processes in a variety of contexts, including non-instantaneous filters [Journal of Multivariate Analysis, 1987], vector processes [Ann. Probab., 1990], renewal theory [Statistica Sinica, 1999], extreme value theory [Journal Applied Probability, 1999], functionals with estimated parameters [Statistica Sinica, 2002],  least squares estimators in polynomial trend regression [Journal of Time Series Anal., 2005], and Berry-Esseen bounds [Bernoulli, 2008]. For example, the paper on functionals with estimated parameters [Statistica Sinica, 2002] deals with a fundamentally important but very difficult problem of a class of statistics involving estimated parameters; by developing a general representation for the functionals of interest, the paper can describe the asymptotic behavior of many common examples such as kurtosis, the sign test, and the absolute deviation from the mean under long-range dependence. In a more general setting the paper appeared in Bernoulli 2008 extends the results of [Ann. Stat., 1996] and  [Ann. Prob. 1997]  by deriving a Berry-Esseen bounds for a large class of non-linear stationary sequences which need not satisfy the traditional mixing-type condition of weak dependence.

 

  1. In the paper [Stochastic Process. Appl., 1996], an interesting dichotomous phenomenon in nonparametric density estimation under long-range dependence is observed.  Instead of the usual central limit theorem, two different types of limiting distributions are possible there for the kernel density estimator, and which one will emerge turns out to be determined by the size of bandwidth. The finding provides a profound example that highlights an intrinsic difference between long-range and short-range dependent processes.

 

Ten representative publications

 

1. Hwai-Chung Ho and T. C. Sun (1987). A central limit theorem of non-instantaneous filters for a stationary Gaussian process.  Journal of Multivariate Analysis 22, 144-155.

2. Hwai-Chung Ho and T. C. Sun (1990). Limiting distribution of non-linear  vector functions of stationary Gaussian processes. Annals of Probability 18, 1159-1173.

  3. Hwai-Chung Ho and Tailen Hsing (1996). On the asymptotic expansion of the

 empirical process of long memory moving averages. Annals of Statistics 24, 992-102

4. Hwai-Chung Ho (1996). On central and non-central limit theorems in density estimation for sequences of long range dependence. Stochastic  Process. Appl. 63, 153-174.

5. Hwai-Chung Ho and Tailen Hsing (1997). Limit theorems for functionals

of moving averages. Annals of Probability 25, 1636-1669.

  6. Hwai-Chung Ho and William McCormick (1999). Asymptotic distributions of sum and maximum for Gaussian processes.  J. Applied Probability 36, 1031-1044

  7. Hwai-Chung Ho (1999). A note on first passage time of stationary sequences.  Statistica Sinica 9, 725-733.

  8. Hwai-Chung Ho (2002). On functionals of linear processes with estimated

parameters.  Statistica Sinica 12, 1171-1190.

 9. Hwai-Chung Ho and N. J. Hsu (2005). Polynomial trend regression with

    long-memory errors. Journal of Time Series Analysis 26, 323-354.

 10. Tsung-Lin Cheng and Hwai-Chung Ho (2008). On Berry-Esseen bounds for

noninstantaneous filters of linear processes. Bernoulli 14, 301-321

 

CONTRIBUTIONS

 

    I have served the statistics community both internationally and in Taiwan. I was a co-editor of Statistica Sinica from 2002 to 2005. While serving as the managing editor of Statistica Sinica from 1999 to 2002, my effort directly resulted in the Journal being indexed by the database Science Citation Index. From 1999 to 2001, I was also the editor of the Journal of the Chinese Statistical Association, the official journal of the Statistical Association of Taiwan. In 1996, as a founding council member, I helped establish the Chinese Institute of Probability and Statistics, a learned society of probability and mathematical statistics in Taiwan.

My professional contributions also include serving as member (1998 to 1999) and chairman (1999 to 2001) of the Statistics Review Panel at the National Science Council of Taiwan. The National Science Council is a government entity, whose mission is to fund and support basic research. Under the National Science Council, the Statistics Review Panel is in charge of the reviewing and funding for all statistics proposals. In 2008 I was appointed as an accreditor to join the accreditation program in mathematics and statistics for Taiwan's universities.

   Since 2005 I have been appointed as an oversight committee member by the Ministry of Education, ROC. The Ministry of Education awards about 3,3 billion  NT dollars to 34 private universities in Taiwan annually and the purpose of the oversight committee is to examine whether the universities spend the fund in accordance with regulations. In 2008 I was further appointed as a member of the review committee commissioned to determine the amount of fund to be awarded to those private universities.

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