Weichi Wu

Weichi Wu

Associate Professor

Research Areas:  time series, change point analysis, M estimation, statistical network analysis

Office: Room 212-C, Weiqing Building, Tsinghua University

Phone: +86-10-62772725

Email: wuweichi@tsinghua.edu.cn

Employment

  • 2020.12-Present Associate Professor (Tenure Track)
    Department of Industrial Engineering, Center for Statistical Science,
    Tsinghua University, China.
  • 2018.12-2020.12  Assistant Professor，Center for Statistical Science and Department of Industrial Engineering,Tsinghua University, China.
  • 2017.10-2018.12  Research Associate Institute of Statistics, Department of Mathematics,Ruhr University Bochum, Germany.Research Mentor: Prof. Holger Dette
  • 2015.07-2017.07 Research Associate Department of Statistical Science,
    Big Data Institute, University College London, UK. Research Mentor: Prof. Patrick Wolfe & Prof. Sofia Olhede

Education

  • 2010-2015  University of Toronto, Canada  Ph.D. in Statistics, Supervisor: Prof. Zhou Zhou
  • 2008-2010  Columbia University in the City of New York, USA M.A. in Statistics
  • 2004-2008 Peking University, China B.S. in Physics

Publications

  1. Dette, H., & Wu, W., Prediction in locally stationary time series, accepted by Journal of Business & Economic Statistics
  2. Dette, H., Dhar, S.S. & Wu,W., Identifying shifts between two regression curves, accepted by Annals of the Institute of Statistical Mathematics.
  3. Dette, H., & Wu, W. (2019). Detecting Relevant Changes in the Mean of a Non-stationary Process. The Annals of Statistics, 47(6), 3578–3608.
  4. Wu, W., & Zhou, Z. (2018). Gradient-based Structural Change Detection for Nonstationary Time Series M-estimation. The Annals of Statistics, 46(3), 1197-1224.
  5. Wu, W., & Zhou, Z. (2018). Simultaneous Quantile Inference for Non-stationary Long-memory Time Series. Bernoulli, 24(4A), 2991-3012.
  6. Dette, H., Wu, W., & Zhou, Z. (2018). Change Point Analysis of Correlation in Non-stationary Time Series. Statistica Sinica, 29(2), 611-644.
  7. Wu, W., & Zhou, Z. (2017). Nonparametric Inference for Time-varying Coefficient Quantile Regression. Journal of Business & Economic Statistics, 35(1), 98-109.

 

Invited Academic Presentations

2020

  • Session chair, the 14th International Conference on Computational and Financial Econometrics,UK.

2019

  • The 13th International Conference on Computational and Financial Econometrics, UK.
  • IMS (Institute of Mathematical Statistics)-China International Conference on Statistics and Probability, China.

2018

  • 12th International Conference on Computational and Financial Econometrics, Italy
  • Workshop on Matrix Estimation Meets Statistical Network Analysis:  Extracting lowdimensional structures in high dimension, Oberwolfach  Research Institute for Mathematics, Germany

2017

  • Fudan Data Science Conference, Fudan University, Shanghai, China.
  • IMS (Institute of Mathematical Statistics)-China International Conference on Statistics and Probability, Guang Xi province, China.
  • 1st International Conference on Econometrics and Statistics, Hong Kong University of Science and Technology, HongKong.

2016

  • 10th International Conference on Computational and Financial  Econometrics, Spain.
  • Research Seminar, Department of Mathematics, University of Bristol, UK.
  • Joint Statistics and Econometrics Seminar, LSE, UK. 

2015

  • Joint Seminar, Department of Statistics, TU Dortmund and Department of Mathematics, Ruhr University Bochum, Germany.
  • SPG Group Seminar, Department of Statistics, UCL, UK.
  • Structural Change Detection For Regression Quantile with Non-Stationary Errors, JSM Seattle, USA (contributed talk).

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