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Prof. CHAN Ngai Hang (陳毅恒教授)

BSc (CUHK), PhD (University of Maryland, College Park)
FASA, FIMS, MISI, Hon M HKSS

Head and Chair Professor

Contact Information

Office: G5756 YEUNG
Phone: 34424186
Fax: 34420613
Email: nhchan@cityu.edu.hk

Research Interests

  • Time Series
  • Statistical Inference for Stochastic Processes
  • Oceanography
  • Risk Management and Statistical Finance

Others

Others

Others

Professor Chan received his BSc from The Chinese University of Hong Kong and PhD degree from the University of Maryland, USA. Prior to joining CityU, he was the Choh-Ming Li Chair Professor of Statistics at The Chinese University of Hong Kong. Professor Chan is a distinguished scholar in the area of time series analysis. He is an elected Fellow of the American Statistical Association and the Institute of Mathematical Statistics, an honorary member of the Hong Kong Statistical Society and an elected member of the International Statistical Institute. His research interests also include statistical inference for stochastic processes, oceanography, risk management and statistical finance. He is currently the Managing Editor of the International Journal of Theoretical and Applied Finance, and Co-Editor of the Journal of Time Series Analysis and the Journal of Forecasting.


Awards and Achievements

  • Dec 2021 “Distinguished Author Award” Journal of Time Series Analysis. In recognition of the authors who have made significant contributions to the journal, the Journal of Time Series Analysis is instigating a scheme to honour those authors by naming them a Journal of Time Series Analysis Distinguished Author. [URL]
  • Dec 2011 “Multa Scripsit Award” Econometric Theory, Cambridge University. There are presently three levels of ET award: Multa Scripsit, Plura Scripsit, and Plurima Scripsit. The awards are made annually using an automated point system based on an author’s cumulative publi- cations in ET. . [URL]
  • Jun 2012 “Research Excellence Award” The Chinese University of Hong Kong. This award is offered to faculty achieving research excellence at the University level.
  • Oct 2007 “Exemplary Teaching Award” The Chinese University of Hong Kong. Awards given to faculty receiving teaching excellence in the Faculty of Science at The Chinese University of Hong Kong.
  • Oct 2005 “Exemplary Teaching Award” The Chinese University of Hong Kong. Awards given to faculty receiving teaching excellence in the Faculty of Science at The Chinese University of Hong Kong.
  • May 2006 “Elected Fellow” The American Statistical Association. The designation of ASA Fellow has been a significant honor for nearly 100 years. Under ASA bylaws, the Committee on Fellows can elect up to one-third of one percent of the total association membership as fellows each year. Nominees must have an established reputation and have made outstanding contributions to statistical science. The Committee on Fellows evaluates each candidate’s contributions to the advancement of statistical science.
  • May 2002 “Elected Fellow” Institute of Mathematical Statistics. The designation of IMS Fellow has been a significant honor for over 85 years. Each Fellow has demonstrated distinction in research in statistics or probability or has demonstrated leadership that has profoundly influenced the field. [URL]
  • Mar 2009 “Elected Honorary Member” Hong Kong Statistical Society. The Honorary Membership of the Society is awarded to renowned members in recognition of their outstanding contributions to the statistics profession. Since the foundation of HKSS in 1977, there are 14 members who have been given this honour by the Council of the Society. . [URL]
  • Sep 1992 “Elected Member” International Statistical Institute. SI Elected membership is open to individuals who are established in their careers and have made significant contributions to the statistical profession. [URL]


Previous Experience

  • 1 Mar 2020 - 1 Nov 2020, Associate Dean of the School of Data Science, The Chinese University of Hong Kong (Shenzhen).
  • 1 Jan 2020 - 1 Nov 2020, Presidential Chair Professor of Data Science, The Chinese University of Hong Kong (Shenzhen).
  • 1 Jun 2013 - 3 Oct 2022, Choh-Ming Li Chair Professor of Statistics, The Chinese University of Hong Kong .
  • 1 Jun 2013 - 30 Jun 2016, Chang Jiang Chair Professor of Statisitcs, Renmin University of China.
  • 1 Aug 2000 - 3 Oct 2022, Chair Professor of Statistics, The Chinese University of Hong Kong .
  • 1 Jul 1997 - 31 Aug 2001, Professor of Statistics, Carnegie Mellon University, USA.
  • 1 Jul 1993 - 30 Jun 1995, Reader, Hong Kong University of Science and Technology.
  • 1 Jul 1993 - 30 Jun 1995, Graduate Director, Hong Kong University of Science and Technology.
  • 1 Sep 1990 - 30 Jun 1997, Associate Professor, Carnegie Mellon University, USA.
  • 1 Aug 1985 - 30 Jun 1990, Assistant/Associate Professor, Indiana University, Bloomington USA.
  • 1 Jun 1985 - 30 May 1986, Postdoctoral Fellow, US Bureau of Census.


Research Grants

  • Statistical Modeling of Big Data Networks, General Research Fund, Research Grants Council of Hong Kong, Amount: HKD $557,000, 1 Jan 2022 - 31 Dec 2025, Chan, N.H. (PI), Cheung, K.C. (Co-I).
  • Inference for Multiple Change-Points in High-Dimensional Time Series, General Research Fund, Research Grants Council of Hong Kong, Amount: HKD $685,000, 1 Jan 2019 - 30 Jun 2022, Chan, N.H. (PI), Yau, C.Y. (Co-I).


Publications Show All Publications Show Prominent Publications


Journal

  • Chan, Ngai Hang. , Chen, Songxi. , Peng, Liang. & Yu, C. L. (2009). Empirical likelihood methods based on characteristic functions with applications to Levy processes. Journal of the American Statistical Association. 104. 1621 - 1630.
  • Buchmann, Boris. & Chan, Ngai Hang. (2009). Integrated functionals of normal processes and fractional Brownian motion. The Annals of Applied Probability. 19. 49 - 70.
  • Chan, Ngai Hang. & Zhang, Rong Mao. (2009). Quantile inference for near-integrated autoregressive time series under infinite variance and strong dependence. Stochastic Processes and Their Applications. 119. 4124 - 4148.
  • Chan, Ngai Hang. & Ling, Shiqing. (2008). Residual empirical processes for long-memory time series. The Annals of Statistics. 36. 2453 - 2470.
  • Buchmann, Boris. & Chan, Ngai Hang. (2007). Asymptotic theory of least squares estimators for nearly unstable processes under strong dependence. The Annals of Statistics. 35. 2001 - 2017.
  • Chan, Ngai Hang. & Peng, Liang. (2005). Weighted least absolute deviations estimation for an AR(1) process with ARCH(1) errors. Biometrika. 92. 477 - 484.
  • Chan, Ngai Hang. & Genovese, Christian. (2001). A comparison of linear and nonlinear statistical techniques in performance attribution. IEEE Transactions of Neural Networks. 12. 922 - 928.
  • Chan, Ngai Hang. & Palma, Wilfredo. (1998). State space modeling of long-memory time series. The Annals of Statistics. 26. 719 - 740.
  • Chan, Ngai Hang. , Kadane, Joseph. B. , Miller, Robert. & Palma, Wilfredo. (1996). Predictions of tropical sea level anomaly by an improved Kalman filter. Journal of Physical Oceanography. 26. 1286 - 1303.
  • Chan, Ngai Hang. & Terrin, Norma. (1995). Inference for unstable long-memory processes with applications to fractional unit root autoregressions. The Annals of Statistics. 23. 1662 - 1683.
  • Chan, Ngai Hang. & Wei, Ching Zong. (1988). Limiting distributions of least squares estimates of unstable autoregressive processes. The Annals of Statistics. 16. 367 - 401.
  • Chan, Ngai Hang. (1988). The parameter inference for nearly nonstationary time series. Journal of the American Statistical Association. 83. 857 - 862.
  • Chan, Ngai Hang. & Wei, Ching Zong. (1987). Asymptotic inference for nearly nonstationary AR(1) processes. The Annals of Statistics. 15. 1050 - 1063.


Last update date : 12 Jan 2024