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Faculty - Statistics

  • Associate Professor
  • BAEK, CHANG RYONG 홈페이지 바로가기

Education

  • Ph.D. in Statistics (2010), University of North Carolina at Chapel Hill Advisor: Vladas Pipiras
  • M.S. in Statistics (2005), Seoul National University, Seoul, Korea Advisor: Byeong-Uk Park
  • B.S. in Statistics (2003), Seoul National University, Seoul, Korea

Experience

  • March 2015 - : Associate Professor, Department of Statistics, Sungkyunkwan University
  • March 2013 - Feb 2015: Assistant Professor, Department of Statistics, Sungkyunkwan University
  • Sep 2010 - May 2013: Assistant Professor, Department of Mathematics, Ohio University

Research Interest

  • Sparse modelling in High dimensional Time series
  • Long range dependence (LRD) phenomenon in time series analysis
  • change-point analysis, heavy-tail phenomenon

Research Keyword

  • (High dimensional) time series analysis
  • Long range dependence / long memory time series
  • change point analysis

Major Research Achievements

  • Block wild bootstrap-based CUSUM tests robust to high persistence and misspecification, with Taewook Lee, Computational Statistics and Data Analysis, 150, 2020
  • Asymptotics of bivariate local Whittle estimators with applications to fractal connectivity, with Stefanos Kechagias and Vladas Pipiras, Journal of Statistical Planning and Inference, 205, 245-268, 2020
  • Periodic dynamic factor models: estimation approaches and applications, with Richard A. Davis and Vladas Pipiras, Electronic Journal of Statistis, 12, 4377-4411, 2018.
  • Sparse seasonal and periodic vector autoregressive modeling, with Richard A. Davis and Vladas Pipiras, Computational Statistics and Data Analysis, 106, 103-126, 2017.
  • 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.
  • On distinguishing multiple changes in mean and long-range dependence using local Whittle estimation, with Vladas Pipiras, Electronic Journal of Statistics, 8, 931-964, 2014.
  • 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.
  • 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.

Journal Article

  • See my personal homepage at https://sites.google.com/view/crbaek/