YAU, Chun Yip 邱俊業
| Position | Professor |
| cy.yau [at] cuhk.edu.hk | |
| ORCiD | 0000-0002-4628-8324 |
| Phone Number | 3943 7942 |
| Fax Number | 2603 5188 |
| Address | LSB 110 |
| Homepage | https://www.sta.cuhk.edu.hk/cyyau/ |
Academic Background
B.Sc. (HKU) 2004
M.Phil. (CUHK) 2006
Ph.D. (Columbia) 2010
Research Interest
Change-Point AnalysisComposite Likelihood InferenceEnvironmental StatisticsSpatial StatisticsTime Series
Selected Publication
- Chan, N.H., Yau, C.Y. & Zhang, R.M. (2014). Group LASSO for structural break time series. Journal of the American Statistical Association, 109, 590–599.
- Chan, N.H., Yau, C.Y. & Zhang, R.M. (2014). LASSO estimation of threshold autoregressive models. Journal of Econometrics, 189(2), 285–296.
- Lee, T.C.M., Tang, C.M. & Yau, C.Y. (2015). Estimation of multiple-regime threshold autoregressive models with structural breaks. Journal of the American Statistical Association, 110, 1175–1186.
- Ma, T.F. & Yau, C.Y. (2016). A pairwise likelihood-based approach for change- point detection in multivariate time series models. Biometrika, 103(2), 409–421.
- Yau, C.Y. & Zhao Z. (2016). Inference for multiple change-points in time series via likelihood ratio scan statistics. Journal of the Royal Statistical Society – Series B, 78(4), 895–916.
- Chan, K.W. & Yau, C.Y. (2017). Automatic Optimal Batch Size Selection for Recursive Estimators of Time-average Covariance Matrix. Journal of the American Statistical Association, 112, 1076–1089.
- Chan, N.H., Ng, W.L, Yau, C.Y., Yu, H. (2021) Optimal Change-point Estimation in Time Series. Annals of Statistics, 49(4) 2336-2355.
- Zhao, Z., Ma, T. F., Ng, W. L., & Yau, C. Y. (2024). A Composite Likelihood-Based Approach for Change-Point Detection in Spatio-Temporal Processes. Journal of the American Statistical Association, 119, 3086–3100.
- Chan, K.W. & Yau, C.Y. (2024). Asymptotically Constant Risk Estimator of Time-average Variance Constants. Biometrika, 111(3), 825–842.
Honors and Awards
- Faculty Exemplary Teaching Award, 01/2013
Major Research/Teaching Grants
Research
- Principal Investigator, Change-Point Estimation in Complicated Stochastic Systems (Research Grants Council – General Research Fund) 1/8/2012 – 31/7/2015, HK$ 624,000.
- Principal Investigator, Efficient Estimations in Multiple-regime Threshold Models (Research Grants Council – General Research Fund) 1/8/2013 – 31/7/2016, HK$ 660,000.
- Principal Investigator, Inference for Multiple Change-points in Time Series (Research Grants Council – General Research Fund) 1/1/2016 – 31/12/2018, HK$ 451,255.
- Principal Investigator, Locally Asymptotic Minimax Estimator of Long-run Covariance Matrix (Research Grants Council – General Research Fund) 1/8/2017 – 31/7/2020, HK$ 472,351.
- Principal Investigator, Predicting Future Change-points in Time Series (Research Grants Council – General Research Fund) 1/1/2020 – 31/12/2022, HK$ 753,667.
- Principal Investigator, Threshold Modeling in Functional Time Series (Research Grants Council – General Research Fund) 1/1/2022 – 31/12/2024, HK$ 598,015.
- Principal Investigator, Estimation of vector threshold models with multivariate thresholds (Research Grants Council – General Research Fund) 1/1/2023 – 31/12/2026, HK$ 803,222.
- Principal Investigator, Asymptotic and Bootstrap Inference for Change-points in Time Series Under Various Break Sizes (Research Grants Council – General Research Fund) 1/1/2025 – 31/12/2028, HK$ 890,587.
Teaching
- Principal Investigator, Interactive Self-Learning Exercises (CUHK NRBG-Courseware Development Grant, Ref: 4621272). 1/1/2012 – 31/12/2012. HK$ 43,000.
- Investigator, Establishment of New Paradigm with Feasible Models in Teaching and Learning Science for Problem Solving and Future Development (University Grants Councils – Focused Innovations Scheme – Scheme C, Ref: CUHK5/T&L/12-15). 01/07/2014 – 30/09/2017. HK$ 2,637,000.
Professional Activities
1/2013 – present
Associate Editor, Journal of Time Series Analysis
1/2015 – present
Chief Editor (Statistics section), International Journal of Mathematics and Statistics
Teaching
2023-24 Term 1
- RMSC 4003 Statistical Modelling in Financial Markets
- STAT 6104 Financial Time Series
2023-24 Term 2
- RMSC 4006 Operational Risk Management
- RMSC 4102/4112 Research Project