Publications

 Journal Articles 

1. Hsu, N.-J. and Tsai, H. (2009). Semiparametric inference of long-memory seasonality using generalized exponential models. Journal of Statistical Planning and Inference, 139, 1992-2009.

2. Tsai, H. and Chan, K.S. (2009). A note on the non-negativity of continuous-time ARMA and GARCH processes. Statistics and Computing, 19, 149-153.
   　
3. Tsai, H. (2009). On continuous-time autoregressive fractionally integrated moving average processes. Bernoulli, 15, 178-194.
   　
4. Tsai, H. and Chan, K.S. (2008). A note on inequality constraints in the GARCH Model. Econometric Theory, 24, 823-828.
   　
5. Tsai, H. and Chan, K.S. (2007). A note on non-negative ARMA processes. Journal of Time Series Analysis, 28, 350-360.
    
6. Tsai, H. (2006). Quasi-maximum likelihood estimation of long-memory limiting aggregate processes. Statistica Sinica, 16, 213-226. 
   　
7. Tsai, H. and Chan, K.S. (2005). Maximum likelihood estimation of linear continuous time long memory processes with discrete time data. Journal of the Royal Statistical Society, Series B, 67, 703-716. 
    
8. Tsai, H. and Chan, K.S. (2005). A note on non-negative continuous time processes. Journal of the Royal Statistical Society, Series B, 67, 589-597.
   　
9. Tsai, H. and Chan, K.S. (2005). Temporal aggregation of stationary and nonstationary discrete-time processes. Journal of Time Series Analysis, 26, 613-624. 
   　
10. Tsai, H. and Chan, K.S. (2005). Temporal aggregation of stationary and nonstationary continuous-time processes. Scandinavian Journal of Statistics, 32, 583-597. 
    　
11. Tsai, H. and Chan, K.S. (2005). Quasi-maximum likelihood estimation for a class of continuous-time long-memory processes. Journal of Time Series Analysis, 26, 691-713. 
    　
12. Tsai, H. and Chan, K.S. (2003). A note on parameter differentiation of matrix exponentials, with applications to continuous-time modeling. Bernoulli, 9, 895-919. 
    　
13. Tsai, H. and Chan, K.S. (2002). A note on testing for nonlinearity with partially observed time series. Biometrika, 89, 245-50. 
    　
14. Tsai, H. and Chan, K.S. (2000). Testing for nonlinearity with partially observed time series. Biometrika, 87, 805-821. 
    　
15. Tsai, H. and Chan, K.S. (2000). A note on the covariance structure of a continuous-time ARMA process. Statistica Sinica, 10, 989-998. 

 Book Chapters / Technical Reports / Unpublished Manuscripts

1. Tsai, H. and Tsay, R. (2009). Constrained factor models, unpublished manuscript.
   　
2. Chan, K.S. and Tsai, H. (2008). Inference of seasonal long-memory aggregate time series. Technical Report  No 391, Department of Statistics & Actuarial Science, The University of Iowa. pdf file
   　 　
3. Hsu, N.-J. Tsai, H. (2008). Modeling non-stationary long memory with time varying spectra, unpublished manuscript.
   　
4. Tsai, H. and Chan, K.S. (2000). Comparison of two discretization methods for estimating continuous-time autoregressive models, in Statistics and Finance: An Inferface, 68-85. W.-S. Chan, W. K. Li  and  H. Tong eds. London: Imperial College Press.

5. Tsai, H. and Chan, K.S (1999). A new EM method for estimating continuous-time autoregressive models. Technical Report No 285, Department of Statistics & Actuarial Science, The University of Iowa.