Reading Group - Asymptotic theory for stationary processes
Wu (2005, 2011) developed a beautiful and coherent asymptotic framework for the inference of stationary process. Apart from using them in this research, I am also delighted to share them with other members of our research group.
Reading Group - Recursive Estimation of Time-Average Variance Constants
This seminal paper by Wu (2009) enlightens us about recursive estimation of long-run variance. Along with Chan and Yau (2017), I detail the proofs and summarize some important ideas/techniques for this research.
Comparison of ‘Pass by Reference’ in R
In writing recursive functions, we frequently need to modify some local variables permanently for future iterations. As native R does not provide pointer, we investigate several available solutions for our package.