Selected Papers in Statistical Journals:
- 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)
- 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]
- Runmin Wang and Xiaofeng Shao (2023) Dating the break in High Dimensional Data. Bernoulli, to appear. https://arxiv.org/abs/2002.04115
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
- 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)
- 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.
- 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.
- Changbo Zhu and Xiaofeng Shao (2021) Interpoint Distance Based Two Sample Tests in High Dimension.
Bernoulli, 27(2): 1189-1211.
- Xin Zhang, Chung Eun Lee and Xiaofeng Shao (2020) Envelopes in Multivariate Regression Models with Nonlinearity and Heteroscedasticity. Biometrika, 107(4), 965-981.
- 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 - Runmin Wang and Xiaofeng Shao (2020) Hypothesis Testing for High-dimensional Time Series via Self-normalization. Annals of Statistics, 48(5), 2728-2758.
PDF
- Chung Eun Lee, Xianyang Zhang and Xiaofeng Shao (2020) Testing the conditional mean independence of functional data. Biometrika, 107(2), 331-346. PDF
- 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
- Xianyang Zhang, Shun Yao and Xiaofeng Shao (2018) Conditional mean and quantile dependence testing in high dimension. Annals of Statistics, 46(1), 219-246.
- 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.
- 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
- 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.
- Xiaofeng Shao (2015) Self-normalization for time series: a review of recent developments. Journal of the American Statistical Association, 110, 1797-1817.
- Xianyang Zhang and Xiaofeng Shao (2015) Two sample inference for the second-order property of temporally dependent functional data. Bernoulli, 21, 909-929. (with online supplementary material)
PDF and Supplementary material
- 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. (with online supplementary material)
PDF and Supplementary material
- Xianyang Zhang and Xiaofeng Shao (2013) Fixed-smoothing asymptotics for time series. Annals of Statistics, 41, 1329-1349 (with online supplemental material)
PDF and Supplementary material
- Zhou Zhou and Xiaofeng Shao (2013) Inference for linear models with dependent errors. Journal of the Royal Statistical Society, Series, B., 75, 323-343.
- 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)
- Xiaofeng Shao and Xianyang Zhang (2010) Testing for change points in time series. Journal of the American Statistical Association, 105, 1228-1240.
- 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):
- Xiaofeng Shao (2010) The dependent wild bootstrap. Journal of the American Statistical Association. 105, 218-235.
PDF and Supplementary material
- Xiaofeng Shao (2009) Confidence intervals for spectral mean and ratio statistics. Biometrika. 96, 107-117.
- Xiaofeng Shao and Wei Biao Wu (2007) Asymptotic spectral theory for nonlinear time series. Annals of Statistics. 35(4), 1773-1801.
Selected Papers in Econometrics Journals:
- 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
- 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.
- Feiyu Jiang, Zifeng Zhao and Xiaofeng Shao (2021) Time Series Analysis of COVID-19 infection curve: a change-point perspective. Journal of Econometrics, to appear.
- 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.
- Yeonwoo Rho and Xiaofeng Shao (2019) Bootstrap-assisted unit root testing with piecewise locally stationary errors. Econometric Theory, 35, 142-166.
- 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.
- Xiaofeng Shao (2011) A bootstrap-assisted spectral test of white noise under unknown dependence. Journal of Econometrics. 162, 213-224.
- 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.
- Xiaofeng Shao (2010) Nonstationarity-extended Whittle Estimation. Econometric Theory. 26, 1060-1087.
- 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)
- Xiaofeng Shao and Wei Biao Wu (2007) Local Whittle estimation of fractional integration for nonlinear processes. Econometric Theory. 23, 899-929.
- 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