Publications (Selected)

Selected Papers in Statistical Journals:

  1. Runmin Wang*, Changbo Zhu*, Stanislav Volgushev, Xiaofeng Shao (2021) Inference for Change Points in High Dimensional Data via Self-Normalization. Annals of Statistics, to appear. (Wang* and Zhu* are joint first authors, equal contributions)
  2. Link

  3. Feiyu Jiang, Zifeng Zhao and Xiaofeng Shao (2021) Modelling the COVID-19 infection trajectory: A piecewise linear quantile trend model. Journal of Royal Statistical Society, Series B, with discussion, to appear.
  4. Link

  5. Yangfan Zhang, Runmin Wang and Xiaofeng Shao (2021) Adaptive inference for change-points in high-dimensional data. Journal of the American Statistical Association, to appear.
  6. PDF

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

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

  11. 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
  12. Runmin Wang and Xiaofeng Shao (2020) Hypothesis Testing for High-dimensional Time Series via Self-normalization. Annals of Statistics, 48(5), 2728-2758.
    PDF
  13. R codes

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

  16. 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
  17. Link

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

  20. 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.
  21. Link

  22. 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
  23. R codes and data

  24. 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.
  25. PDF

    R codes and data

  26. Xiaofeng Shao (2015) Self-normalization for time series: a review of recent developments. Journal of the American Statistical Association, 110, 1797-1817.
  27. PDF

  28. 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)
  29. PDF and Supplementary material

  30. 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)
  31. PDF and Supplementary material

  32. Xianyang Zhang and Xiaofeng Shao (2013) Fixed-smoothing asymptotics for time series. Annals of Statistics, 41, 1329-1349 (with online supplemental material)
  33. PDF and Supplementary material

  34. Zhou Zhou and Xiaofeng Shao (2013) Inference for linear models with dependent errors. Journal of the Royal Statistical Society, Series, B., 75, 323-343.
  35. PDF

  36. 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)
  37. PDF and PDF

  38. Xiaofeng Shao and Xianyang Zhang (2010) Testing for change points in time series. Journal of the American Statistical Association, 105, 1228-1240.
  39. PDF Some R codes

  40. 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):
  41. PDF

  42. Xiaofeng Shao (2010) The dependent wild bootstrap. Journal of the American Statistical Association. 105, 218-235.
  43. PDF and Supplementary material

  44. Xiaofeng Shao (2009) Confidence intervals for spectral mean and ratio statistics. Biometrika. 96, 107-117.
  45. PDF

  46. Xiaofeng Shao and Wei Biao Wu (2007) Asymptotic spectral theory for nonlinear time series. Annals of Statistics. 35(4), 1773-1801.
  47. PDF

Selected Papers in Econometrics Journals:

  1. Guochang Wang, Ke Zhu and Xiaofeng Shao (2021) Testing for the martingale difference hypothesis in multivariate time series models. Journal of the Business and Economic Statistics, to appear.
  2. PDF

  3. 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.
  4. PDF

  5. 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.
  6. Link

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

  9. 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.
  10. PDF

  11. Xiaofeng Shao (2011) A bootstrap-assisted spectral test of white noise under unknown dependence. Journal of Econometrics. 162, 213-224.
  12. PDF

  13. 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.
  14. PDF

  15. Xiaofeng Shao (2010) Nonstationarity-extended Whittle Estimation. Econometric Theory. 26, 1060-1087.
  16. PDF

  17. 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)
  18. PDF and PDF

  19. Xiaofeng Shao and Wei Biao Wu (2007) Local Whittle estimation of fractional integration for nonlinear processes. Econometric Theory. 23, 899-929.
  20. PDF

  21. Wei Biao Wu and Xiaofeng Shao (2007) A limit theorem for quadratic forms and its applications. Econometric Theory. 23, 930-951.
  22. PDF
    Tjalling C. Koopmans Econometric Theory Prize for 2006-2008 PDF




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