Chen Wang

Run Run Shaw Building, The University of Hong Kong Pokfulam Road, Hong Kong

Phone: (852) 3917-0064

Fax: (852) 2858-9041

PhD in Statistics (2014), NUS

Research Interests
Random Matrix Theory, Time Series Analysis, High-dimensional Data Analysis

Publications
A. Onatski and C. Wang, Spurious factor analysis, Econometrica, 2021, 89: 591-614.
A. Onatski and C. Wang, Spectral distribution of the sample covariance of high-dimensional time series with unit roots, Statistica Sinica, forthcoming.
Z. Bai, J. Hu, C. Wang and C. Zhang, Test on the liner combinations of covariance matrices in high-dimensional data, Statistical Papers, 2021, 62: 701-719.
A. Onatski and C. Wang, Extreme canonical correlations and high-dimensional cointegration analysis, Journal of Econometrics. 2019, 212: 307-322.
A. Onatski and C. Wang, Alternative asymptotics for cointegration tests in large VARs, Econometrica. 2018, 86: 1465-1478.
C. Zhang, Z. Bai, J. Hu and C. Wang, Multi-sample test for high-dimensional covariance matrices, Communications in Statistics - Theory and Methods. 2018, 47: 3161-3177.

J. Hu, Z. Bai, C. Wang and W. Wang, On testing the equality of high dimensional mean vectors with unequal covariance matrices, Annals of the Institute of Statistical Mathematics. 2017, 69: 365-387.

Z. Bai, and C. Wang, A note on the limiting spectral distribution of a symmetrized auto-cross covariance matrix, Statistics and Probability Letters. 2015, 96: 333-340.

C. Wang, B. Jin, Z. Bai, K. K. Nair and M. C. Harding, Strong limit of the extreme eigenvalues of a symmetrized auto-cross covariance matrix, Annals of Applied Probability. 2015, 25: 3624-3683.

B. Jin, C. Wang, Z. Bai, K. K. Nair and M. C. Harding, Limiting spectral distribution of a symmetrized auto-cross covariance matrix, Annals of Applied Probability. 2014, 24: 1199-1225.

Teaching

STAT2602 Probability and Statistics II