Research Interests:

• Nonstationary time series
• Nonlinear time series
• Matrix and Tensor time series
• High dimensional data analysis
• Algebraic statistics
• Random matrix theory

CV

Publications:

1. Cai, C., Chen, R., and Xiao, H. (2022).
   Stable matrix completion using properly configured Kronecker product approximation.
   Submitted.
2. Chen, R, Han ,Y., Li, Z., Xiao, H., Yang, D. and Yu, R. (2022)
   Analysis of tensor time series: tensorTS.
   Submitted.
3. Gonzalez Sopena, J., Dasgupta, T., Pakrashi, V., Xiao, H. and Ghosh, B.(2022).
   How poorly does my forecast perform under a wrong ARIMA model? A decomposition-based simulation algorithm for assessment.
   Submitted.
4. Hao, N., Niu, Y. S., and Xiao, H (2022).
   Equivariant variance estimation for multiple change-point model.
   Submitted.
5. Li, Z. and Xiao, H. (2022).
   Multi-linear tensor autoregressive models.
   arXiv:math.ST/2110.00928
6. Cai, C., Chen, R., and Xiao, H. (2022).
   KoPA: Automated Kronecker product approximation.
   Journal of Machine Learning Research. Accepted.
7. Xiao, H., Chen, R. and Guerard, J. (2022).
   Forecasting the U.S. unemployment rate: another look.
   Accepted.
8. Cai, C., Chen, R., and Xiao, H. (2022).
   Hybrid Kronecker product decomposition and approximation.
   Journal Of Computational and Graphical Statistics. Accepted with minor revision.
9. Xiao, H., Han, Y., Chen, R. and Liu, C. (2022).
   Reduced rank autoregressive models for matrix time series.
   Journal of Business & Economic Statistics. Accepted with minor revision.
10. Zhu, Y., and Xiao, H. (2022).
    Improved convergence rates of normal extremes.
    The Festschriftof Professor David E. Tyler. To Appear.
11. Zheng, T., Chen, R. and Xiao, H. (2021).
    Generealized Autoregressive Moving Average Models with GARCH Errors.
    Journal of Time Series Analysis., 43:125--146.
12. Chen, R., Ji, Y., Jiang G., Xiao, H., Xie, R. and Zhu, P (2021).
    Composite index construction with expert opinion.
    Journal of Business & Economic Statistics, 0(0): 1--13. doi = 10.1080/07350015.2021.2000418
13. Chen, R., Xiao, H. and Yang, D. (2021).
    Autoregressive model for matrix-valued time series.
    J. Econometrics, 222(1):539--560.
14. Liu, X., Xiao, H. and Chen, R. (2016).
    Convolutional autoregressive models for functional time series.
    J. Econometrics, 194(2):263--282.
15. Drton, M. and Xiao, H. (2016).
    Wald tests of singular hypotheses.
    Bernoulli, 22(1):38--59. arXiv:math.ST/1304.6746
16. Zheng, T., Xiao, H. and Chen, R. (2015).
    Generalized ARMA models with martingale difference errors.
    J. Econometrics, 189(2):492--506.
17. Xiao, H. and Wu, W. B. (2014).
    Portmanteau test and simultaneous inference for serial covariances. Supplement
    Statistica Sinica, 24(2):577--600.
18. Xiao, H. and Wu, W. B. (2013).
    Asymptotic theory for maximum deviations of sample covariance matrix estimates. Supplement
    Stochastic Processes and their Applications, 123(7):2899--2920.
19. Liu, W., Xiao, H. and Wu, W. B. (2013).
    Probability and moment inequalities under dependence.
    Statistica Sinica, 23(3):1257--1272.
20. Xiao, H. and Wu, W. B. (2012).
    Covariance matrix estimation for stationary time series. Supplement
    Annals of Statistics, 40(1):466--493.
21. Xiao, H. and Wu, W. B. (2012).
    Covariance matrix estimation in time series.
    Handbood of Statistics, 30:187--209.
22. Xiao, H. and Wu, W. B. (2011).
    A single-pass algorithm for spectrum estimation with fast convergence.
    IEEE Transactions on Information Theory, 57(7):4720--4732.
23. Drton, M. and Xiao, H. (2010).
    Finiteness of small factor analysis models.
    Annals of the Institute of Statistical Mathematics., 62(4):775-783. arXiv:math.ST/0908.1736
24. Drton, M. and Xiao, H. (2010).
    Smoothness of Gaussian conditional independence models.
    Algebraic Methods in Statistics and Probability II, Contemporary Mathematics, 516:155--177.
    American Mathematical Society, Providence, RI, 2010. arXiv:math.ST/0910.5447
25. Xiao, H. and Zhou, W. (2010).
    Almost sure limit of the smallest eigenvalue of some sample correlation matrices.
    Journal of Theoretical Probability, 23(1):1-20, 2010.