Changryong Baek

 
Research Papers
  1. Periodic dynamic factor models: estimation approaches and applications , with Richard A. Davis and Vladas Pipiras, Preprint, 2017+.
  2. ARMA Cholesky Factor Models for Linear Models, with Keunbaik Lee and Michael J. Daniels, Computational Statistics and Data Analysis, In press, 2017+.
  3. Sparse seasonal and periodic vector autoregressive modeling, with Richard A. Davis and Vladas Pipiras, Computational Statistics and Data Analysis, 106, 103-126, 2017.
  4. Bootstrap estimation of long-run variance under strong dependence, with Yong Kwon, The Korean Journal of Applied Statistics, 29 (3), 449-462, 2016.
  5. Adaptive lasso in sparse vector autoregressive models, with Sl Gi Lee, The Korean Journal of Applied Statistics, 29 (1), 27-39, 2016.
  6. A Modified Lee-Carter Model based on the Projection of the Skewness of the Mortality, with Hangsuk Lee and Jihyeon Kim, The Korean Journal of Applied Statistics, 29 (1), 41-59, 2016.
  7. A piecewise polynomial trend against long range dependence, Journal of Korean Statistical Society, 44, 457-468, 2015.
  8. Tests for volatility shifts in GARCH against long-range dependence, with Taewook Lee and Moosup Kim, Journal of Time Series Analysis, 36, 127-153, 2015.
  9. Filtered coupling measures for variable selection in sparse vector autoregressive modeling, with Seungkyu Lee, The Korean Journal of Applied Statistics, 28(5), 871-883, 2015.
  10. Measuring the optimality of Hadoop optimization, with Woo-Cheol Kim and Dongwon Lee, Unpublished, 2013.
  11. On distinguishing multiple changes in mean and long-range dependence using local Whittle estimation, with Vladas Pipiras, (R Software), Electronic Journal of Statistics, 8, 931-964, 2014.
  12. On integral representations of operator fractional Brownian fields, with Gustavo Didier and Vladas Pipiras, Statistics and Probability Letters, 92, 190-198, 2014.
  13. Can Markov switching model generate long memory?, with Natercia Fortuna and Vladas Pipiras, Economic Letters, 124, 117-121, 2014. (Technical Note)
  14. Quasi-maximum likelihood estimation for multiple volatility shifts, with Moosup Kim, Taewook Lee and Jungshik Noh, Statistics and Probability Letters, 86, 50-60, 2014.
  15. On multivariate GARCH model selection based on risk management, with SeRin Park, Journal of the Korean Data & Information Science Society, 25(6), 1333-1343, 2014.
  16. The sparse vector autoregressive model for PM10 in Korea , with Wonseok Lee, Journal of the Korean Data & Information Science Society, 25(4), 807-817, 2014.
  17. Measuring Hadoop Optimality by Lorenz Curve, The Korean Journal of Applied Statistics, 27(2), 249-261, 2014.
  18. Time Series Modelling of Air Quality in Korea: Long Range Dependence or Changes in Mean? , The Korean Journal of Applied Statistics, 26(6), 987-998, 2013.
  19. Statistical tests for a single change in mean against long range dependence, with Vladas Pipiras, Journal of Time Series Analysis, 33(1), 131-151, 2012.
  20. Estimation of parameters in heavy-tailed distribution when its second order tail exponent is known, with Vladas Pipiras, Journal of Statistical Planning and Inference, 140(7), 1957-1967, 2010.
  21. Second order properties of distribution tails and estimation of tail exponents in random difference equations, with Vladas Pipiras, Herwig Wendt and Patrice Abry, Extremes 12(4), 361-400, 2009. (Matlab Sofeware)
  22. Long range dependence, unbalanced Haar wavelet transformation and changes in local mean level, with Vladas Pipiras, International Journal of Wavelets, Multiresolution and Information Processing, 7(1), 23-58, 2009. (Matlab Software)