Publications (Full List)

  1. Li, L., Shao, X. and Yu, Z. (2024) A Slicing-Free Perspective to Sufficient Dimension Reduction: Selective Review and Recent Developments. International Statistical Review, to appear.
  1. Xu, T., Zhu, R. and Shao, X. (2024) On Variance Estimation of Random Forests with Infinite-Order U-statistics. Electronic Journal of Statistics, to appear.
  1. Jiang, F., Zhu, C. and Shao, X. (2024) Two-sample and change-point inference for non-Euclidean valued time series. Electronic Journal of Statistics, to appear.
  1. Wu, T., Volgushev, S. and Shao, X. (2023+) Change-point Inference for high-dimensional heteroscedastic data. Electronic Journal of Statistics, to appear.
  1. Feiyu Jiang, Hanjia Gao and Xiaofeng Shao (2023+) Testing Serial Independence of Object-Valued Time Series. Biometrika, to appear. arxiv.org/pdf/2302.12322.pdf
  1. Yi Zhang and Xiaofeng Shao (2023+) Another look at bandwidth-free inference: a sample splitting approach. Journal of Royal Statistical Society, Series B, to appear.
  1. Hanjia Gao and Xiaofeng Shao (2023+) Two sample testing in high dimension via Maximum Mean Discrepancy. Journal of Machine Learning Research, to appear. 2109.14913.pdf (arxiv.org)
  1. Daisuke Kurisu, Kengo Kato and Xiaofeng Shao (2023+) Gaussian approximation and spatially dependent wild bootstrap for high-dimensional spatial data.  Journal of the American Statistical Association, to appear. [2103.10720]
  1. Qing Mai, Xiaofeng Shao, Runmin Wang and Xin Zhang (2023+) Slicing-free Inverse Regression in high dimensional sufficient dimension reduction. Statistica Sinica, to appear.  2304.06201
  1. Runmin Wang and Xiaofeng Shao (2023) Dating the break in High Dimensional Data. Bernoulli, to appear. https://arxiv.org/abs/2002.04115.
  1. Feiyu Jiang, Runmin Wang and Xiaofeng Shao (2023) Robust inference for change points in high dimension. Journal of Multivariate Analysis, 193, 105114.
  1. Xuming He and Xiaofeng Shao (2022) A Conversation with Stephen Portnoy. Statistical Science, 37(3), 443-454.
  1. Jinyuan Chang, Qing Jiang and Xiaofeng Shao (2022) Testing the martingale difference hypothesis in high dimension. Journal of Econometrics, to appear. https://arxiv.org/abs/2209.04770?gathStatIcon=true
  1. Zifeng Zhao, Feiyu Jiang and Xiaofeng Shao (2022) Segmenting time series via self-normalization. Journal of Royal Statistical Society, Series B, 84(5), 1699-1725. https://arxiv.org/abs/2112.05331v1
  1. Runmin Wang*, Changbo Zhu*, Stanislav Volgushev, Xiaofeng Shao (2022) Inference for Change Points in High Dimensional Data via Self-Normalization. Annals of Statistics, 50(2), 781-806. (Wang* and Zhu* are joint first authors, equal contributions) https://arxiv.org/abs/1905.08446
  1. Feiyu Jiang, Zifeng Zhao and Xiaofeng Shao (2022) Modelling the COVID-19 infection trajectory: A piecewise linear quantile trend model. Journal of Royal Statistical Society, Series B, with discussion, 84(5), 1589-1607. (the discussion and rejoinder are published at JRSSA).

Link

  1. Guochang Wang, Ke Zhu and Xiaofeng Shao (2022) Testing for the martingale difference hypothesis in multivariate time series models. Journal of the Business and Economic Statistics, 40(3), 980-994.

PDF

  1. Yangfan Zhang, Runmin Wang and Xiaofeng Shao (2022) Adaptive inference for change-points in high-dimensional data. Journal of the American Statistical Association, 117, 1751-1762.

PDF

  1. Teng Wu, Runmin Wang, Hao Yan and Xiaofeng Shao (2022) Adaptive change-point monitoring for high-dimensional data. Statistica Sinica, 32, 1583-1610.

PDF

  1. Changbo Zhu and Xiaofeng Shao (2021) Interpoint Distance Based Two Sample Tests in High Dimension. Bernoulli, 27(2), 1189-1211.

PDF

  1. Feiyu Jiang, Zifeng Zhao and Xiaofeng Shao (2023) Time Series Analysis of COVID-19 infection curve: a change-point perspective. Journal of Econometrics, 232, 1-17.

PDF

  1. Xin Zhang, Chung Eun Lee and Xiaofeng Shao (2020) Envelopes in Multivariate Regression Models with Nonlinearity and Heteroscedasticity. Biometrika, 107(4), 965-981.

PDF

  1. Changbo Zhu, Xianyang Zhang, Shun Yao and Xiaofeng Shao (2020) Distance-based and RKHS-based Dependence Metrics in High Dimension.
    Annals of Statistics, 48(6), 3366-3394.
    PDF
  2. Runmin Wang and Xiaofeng Shao (2020) Hypothesis Testing for High-dimensional Time Series via Self-normalization. Annals of Statistics, 48(5), 2728-2758.
    PDF

R codes

  1. Chung Eun Lee, Xianyang Zhang and Xiaofeng Shao (2020) Testing the conditional mean independence of functional data. Biometrika, 107(2), 331-346.
    PDF

R codes

  1. Chung Eun Lee and Xiaofeng Shao (2020) Volatility Martingale Difference Divergence Matrix and Its Application to Dimension Reduction for Multivariate Volatility.

Journal of Business and Economic Statistics, 38, 80-92.

  1. Yeonwoo Rho and Xiaofeng Shao (2019) Bootstrap-assisted unit root testing with piecewise locally stationary errors. Econometric Theory, 35, 142-166.

Link

  1. Shun Yao, Xianyang Zhang and Xiaofeng Shao (2018) Testing mutual independence in high dimension via distance covariance. Journal of Royal Statistical Society, Series B, 80(3), 455-480. R codes

Link

  1. Xianyang Zhang, Shun Yao and Xiaofeng Shao (2018) Conditional mean and quantile dependence testing in high dimension. Annals of Statistics, 46(1), 219-246.

Link

  1. Chung Eun Lee and Xiaofeng Shao (2018) Martingale difference divergence matrix and its application to dimension reduction for stationary multivariate time series. Journal of the American Statistical Association, 113, 216-229.

Link

  1. Srijan Sengupta, Stanislav Volgushev, and Xiaofeng Shao (2016) A subsampled double bootstrap for massive data. Journal of the American
    Statistical Association, 111, 1222-1232. PDF

R codes and data

  1. Xianyang Zhang and Xiaofeng Shao (2016) On the coverage bound problem of empirical likelihood methods for time series. Journal of Royal Statistical Society, Series B, 78, 395-421. PDF

R codes and data

  1. Yinxiao Huang and Xiaofeng Shao (2016) Coverage bound for fixed-b subsampling and generalized subsampling for time series. Statistica Sinica, 26, 1499-1524. PDF
  2. Xiaofeng Shao (2015) Self-normalization for time series: a review of recent developments. Journal of the American Statistical Association, 110, 1797-1817.PDF
  3. Trevor Park, Xiaofeng Shao and Shun Yao (2015) Partial martingale difference correlation. Electronic Journal of Statistics, 9, 1492-1517. PDF
  4. Srijan Sengupta, Xiaofeng Shao and Yingchuan Wang (2015) The dependent random weighting. Journal of Time Series Analysis, 36, 315-326.
  5. Seonjin Kim, Zhibiao Zhao and Xiaofeng Shao (2015) Nonparametric functional central limit theorem for time series with application to self-normalized confidence interval. Journal of Multivariate Analysis, 36, 277-290.
  6. Yinxiao Huang, Stanislav Volgushev and Xiaofeng Shao (2015) On self-normalization for censored dependent data. Journal of Time Series Analysis, 36, 109-124.
  7. Xianyang Zhang and Xiaofeng Shao (2015) Two sample inference for the second-order property of temporally dependent functional data. Bernoulli, 21, 909-929.
  8. Yeonwoo Rho and Xiaofeng Shao (2015) Inference for time series regression models with weakly dependent and heteroscedastic errors. Journal of Business and Economic Statistics, 33, 444-457.
  9. Stanislav Volgushev and Xiaofeng Shao (2014) A general approach to the joint asymptotic analysis of statistics from sub-samples. Electronic Journal of Statistics, 8, 390-431.
  10. Xiaofeng Shao and Jingsi Zhang (2014) Martingale difference correlation and its use in high dimensional variable screening. Journal of the American Statistical Association, 109, 1302-1318.
  11. Xianyang Zhang, Bo Li and Xiaofeng Shao (2014) Self-normalization for spatial data. Scandinavian Journal of Statistics, 41, 311-324.
  12. Xianyang Zhang and Xiaofeng Shao (2014) Fixed-b asymptotics for blockwise empirical likelihood. Statistica Sinica, 24, 1179-1194.
  13. Yeonwoo Rho and Xiaofeng Shao (2013) Improving the bandwidth-free
    Inference methods by pre-whitening. Journal of Statistical Planning and Inference, 143, 1912-1922.
  14. Xianyang Zhang and Xiaofeng Shao (2013) Fixed-smoothing asymptotics for time series. Annals of Statistics, 41, 1329-1349.
  15. Xianyang Zhang and Xiaofeng Shao (2013) On a general class of long run variance estimators. Economics Letters, 120, 437-441.
  16. Jingsi Zhang, Wenxin Jiang and Xiaofeng Shao (2013) Bayesian model selection based on parameter estimates from subsamples. Statistics and Probability Letters, 83(4), 979-986.
  17. Zhou Zhou and Xiaofeng Shao (2013) Inference for linear models with dependent errors. Journal of the Royal Statistical Society, Series, B., 75, 323-343. PDF
  18. Xiaofeng Shao and Dimitris N. Politis (2013) Fixed-b subsampling and block bootstrap: improved confidence sets based on p-value calibration. Journal of the Royal Statistical Society, Series, B., 75, 161-184(Published version and Full Version) PDF and PDF
  19. Xiaofeng Shao (2012) Parametric inference for stationary time series models with dependent errors. Scandinavian Journal of Statistics, 39, 772-783. (Published version and Full Version) PDF and PDF
  20. Xianyang Zhang, Xiaofeng Shao, Katharine Hayhoe and Donald Wuebbles (2011) Testing the structural stability of temporally dependent functional observations and application to climate projections. Electronic Journal of Statistics. 5, 1765-1796.. PDF
  21. Xiaofeng Shao (2011) A bootstrap-assisted spectral test of white noise under unknown dependence. Journal of Econometrics. 162, 213-224. PDF
  22. Xiaofeng Shao (2011) A simple test of changes in mean in the presence of long-range dependence. Journal of Time Series Analysis. 32, 598-606. PDF Some R codes
  23. Xiaofeng Shao (2011) Testing for white noise under unknown dependence and its applications to goodness-of-fit for time series models. Econometric Theory. 27, 312-343. PDF
  24. Xiaofeng Shao and Xianyang Zhang (2010) Testing for change points in time series. Journal of the American Statistical Association, 105, 1228-1240. PDF
  25. Xiaofeng Shao (2010) Nonstationarity-extended Whittle Estimation. Econometric Theory. 26, 1060-1087. PDF
  26. Xiaofeng Shao (2010) A self-normalized approach to confidence interval construction in time series. Journal of the Royal Statistical Society, Series, B. 72(3), 343-366. Corrigendum: 2010, 72(5), 695-696. arXiv version (with correction): PDF
  27. Xiaofeng Shao (2010) The dependent wild bootstrap. Journal of the American Statistical Association. 105, 218-235. PDF and Supplementary material
  28. Xiaofeng Shao (2010) Extended tapered block bootstrap. Statistica Sinica. 20, 807-821. PDF
  29. Xiaofeng Shao and Bo Li (2009) A tuning parameter free test for properties of space-time covariance functions. Journal of Statistical Planning and Inference. 139, 4031-4038. PDF
  30. Xiaofeng Shao (2009) Confidence intervals for spectral mean and ratio statistics. Biometrika. 96, 107-117. PDF
  31. Xiaofeng Shao (2009) A generalized portmanteau test for independence between two stationary time series. Econometric Theory. 23(1), 195-210. (Published version and Full Version) PDF and PDF
  32. Hernando Ombao, Xiaofeng Shao, Elena Rykhlevskaia, Monica Fabiani and Gabriele Gratton (2008) Spatio-spectral analysis of brain signals. Statistica Sinica. 18(4), 1465-1482. PDF
  33. Xiaofeng Shao and Wei Biao Wu (2007) Asymptotic spectral theory for nonlinear time series. Annals of Statistics. 35(4), 1773-1801. PDF
  34. Xiaofeng Shao and Wei Biao Wu (2007) Local Whittle estimation of fractional integration for nonlinear processes. Econometric Theory. 23, 899-929. PDF
  35. Wei Biao Wu and Xiaofeng Shao (2007) A limit theorem for quadratic forms and its applications. Econometric Theory. 23, 930-951. PDF
    Tjalling C. Koopmans Econometric Theory Prize for 2006-2008 PDF
  36. Xiaofeng Shao, Michael Stein and Jason Ching (2007) Statistical comparisons of methods for interpolating the output of a numerical air quality model. Journal of Statistical Planning and Inference, 137, 2277-2293. PDF
  37. Xiaofeng Shao and Wei Biao Wu (2007) Local asymptotic powers of nonparametric and semiparametric tests for fractional integration. Stochastic Processes and their Applications, 117, 251-261. PDF
  38. Wei Biao Wu and Xiaofeng Shao (2006) Invariance principles for fractionally integrated nonlinear processes. IMS Lecture notes-Monographs series, Festschrift for Michael Woodroofe, 50, 20-30. PDF
  39. Xiaofeng Shao and Michael Stein (2006) Statistical conditional simulation of a multiresolution numerical air quality model. Journal of Geophysical Research, Atmospheres,Vol.111, D15211, doi:10.1029/2005JD007037. PDF
  40. Wei Biao Wu and Xiaofeng Shao (2004) Limit theorems for iterated random functions. Journal of Applied Probability, 41, 425-436. PDF


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