|
|
Department of Mathematics |
|
Associate Professor of
Mathematics
Department
of Mathematics
Phone: (0852) 23587459
Fax: (0852) 23591016
Email: maling@ust.hk
Past
Experiences
Research
Interests
Professional
Service
1. Associate
Editor: Statistics \&
Probability Letters: 2005-2008.
2. Associate
Editor: Bernoulli 2007-2009
(Official Journal of the Bernoulli
Society for Mathematical
Statistics and
Probability)
3. Associate
Editor: Electronic Journal of Statistics: 2010-present.
.
Honours
1. Early Career Research Excellence Prize, Modelling and Simulation Society of
2. Adjunct Associate Professor,
3. Elected member of International Statistical
Institute (2005).
4. Multa Scripsit Award (Econometric Theory (2007).
Papers
Published in Journals
.
1.
Chan, N.H. and Ling, S. (2007) Residual empirical processes for
long- and short- memory time series. Accepted by Annals of Statistics , .pdf
2.
Ling, S. and Li, D. (2007) Asymptotic inference for a
non-stationary double AR(1) model. Accepted by Biometrika. B.pdf
3.
Ling, S., Tong, H. and Li, D.
(2007) Ergodicity and Invertibility
of Threshold MA Models. Bernoulli, 13, 161-168. B-.pdf
4.
Ling, S. (2007) A double AR(p) model: structure and
estimation. Statistica Sinica, 17,
161-175 .pdf
5.
Ling, S. (2007) Testing for change-points in time series
models and limiting theorems for NED sequences. Annals of
Statistics, 35, 1213–1237.
.AAn-6.pdf
6.
Koul, H. and Ling, S . (2006) Fitting an
error distribution in some heteroscedastic time
series models. Annals of Statistics
34, 994-1012. Ann-5.pdf
7.
Ling, S. and Tong, H. (2005) Testing a linear MA model
against threshold MA models. Annals of Statistics 33, 2529-2552 . Ann-4.pdf
8.
Ling, S. (2005).
Self-weighted LAD estimation for infinite variance autoregressive models. Journal of the Royal
Statistical Society: Series B. JRSS.pdf
9.
Wong, H. and Ling, S. (2005) Mixed portmanteau tests for time
series Journal of Time Series
Analysis
26, 569-579 WL.pdf
10.
Wong, H., Li, W.K.
and Ling, S. (2004) A cointegrated conditional heteroscedastic model with applications. Ann. Inst. Statist. Math.
11.
Ling, S. and McAleer, M. (2004) Regression quantiles
for unstable autoregression model. Journal
of Multivariate Analysis 89 (2), 304-328. rquu.pdf
12.
Ling, S. and Peng, L. (2004)
Hill's estimator for the tail index of ARMA model. Journal
of Statistical Planning and Inference 123, 279-293.
13.
Ling, S. (2004) Estimation and testing of stationarity
for double autoregressive models. Journal of the Royal
Statistical Society: Series B 66, 63-78. JRSS.pdf
14.
Ling, S. (2003) Adaptive
estimators and tests of stationary and non-stationary short and long
memory ARIMA-GARCH models. Journal of the American Statistical
Association 98, 955-967 JASA.pdf
15.
Ling, S. and McAleer, M. (2003) Adaptive estimation in nonstationry ARMA models with GARCH
noises. Annals of Statistics, 31, 642-674. Ann.pdf
16.
. Li, W. K., Ling, S.
and Wong, H. (2001) Estimation for partially nonstationary
multivariate autoregressive models with conditional heteroscedasticity. Biometrika
88, no. 4, 1135-1152. .Bio.pdf
17.
Ling, S. (1999) On probability
properties of a double threshold ARMA conditional heteroskedasticity
model. Journal of Applied Probability 36 (3),
688-705.
18.
Ling, S. (1999) On the stationarity and the
existence of moments of conditional heteroskedastic
ARMA models. Statistica
Sinica 9, 1119-1130.
19.
Ling, S. (1998) Weak convergence of the sequential empirical processes
of residuals in nonstationary autoregressive
models. Annals of Statistics 26 (2),
741-754. Ann.pdf.
20.
Ling, S. and Li, W.K. (1998) Limiting distributions of maximum
likelihood estimators for unstable autoregressive moving-average time series
with general autoregressive heteroscedastic
errors. Annals of Statistics 26 (1), 84-125.Ann.pdf
21.
Ling, S. and Li, W.K. (1997)
Fractional autoregressive integrated moving-average time series conditional heteroskedasticity. Journal of the American Statistical Association, 92
(439), 1184-1194.JASA.pdf
22.
Ling, S. and Li, W.K. (1997) Diagnostic checking of
nonlinear multivariate time series with multivariate arch errors. Journal
of Time Series Analysis 18, 447-464.
23.
Ling, S. (2006)
Self-weighted? and Local Quasi-maximum Likelihood Estimators for?ARMA -GARCH/IGARCH Models.?Accepted
by Journal
of Econometrics. JOE.pdf
24.
25.
Ling, S. and McAleer, M. (2003) Asymptotic theory for a new vector
ARMA-GARCH model. Econometric Theory 19, 280-310. ET.pdf
26.
Ling, S. and Li, W.K. (2003) Asymptotic inference for unit root
with GARCH (1,1) errors. Econometric Theory 19, 541-564.ET.pdf
27.
Ling, S., Li, W.K. and McAleer, M. (2003)
Estimation and testing for a unit root process with GARCH (1,1) errors. Econometric
Reviews, 22, 179 - 202.
28.
Ling, S. and McAleer, M. (2002) Necessary and sufficient moment
conditions for the GARCH(p,q) and asymmetric power
GARCH(p,q) models. Econometric Theory
18, 722-729.
29.
Ling, S. and McAleer, M. (2002) Stationarity
and the existence of moments of a family of GARCH processes. Journal
of Econometrics 106, 109-117.
30.
Li, W.K., Ling, S. and McAleer, M.
(2002) A survey of recent theoretical results for time series models with GARCH
errors. Journal of Economic Survey 16, 245-269.
31.
Ling,
S. and Li, W.K. (2001) Asymptotic properties of CSS estimation for nonstationary fractionally integrated autoregressive moving
average models. Econometric Theory 17,
738-764.ET.pdf
Syllabus.w