**Research Interests:**

- Nonstationary time series
- Nonlinear time series
- High dimensional data analysis
- Multivariate time series
- Algebraic statistics
- Random matrix theory

**Publications:**

- Drton, M. and Xiao, H. (2016).

Wald tests of singular hypotheses.

*Bernoulli*, 22(1):38--59.
arXiv:math.ST/1304.6746
- Zheng, T., Xiao, H. and Chen, R. (2015).

Generalized ARMA models with martingale difference errors.

*J. Econometrics*, 189(2):492--506.
- Xiao, H. and Wu, W. B. (2014).

Portmanteau test and simultaneous inference for serial covariances.
Supplement

*Statistica Sinica*, 24(2):577--600.
- Xiao, H. and Wu, W. B. (2013).

Asymptotic theory for maximum deviations of sample covariance matrix estimates.
Supplement

*Stochastic Processes and their Applications*, 123(7):2899--2920.
- Liu, W., Xiao, H. and Wu, W. B. (2013).

Probability and moment inequalities under dependence.

*Statistica Sinica*, 23(3):1257--1272.
- Xiao, H. and Wu, W. B. (2012).

Covariance matrix estimation for stationary time series.
Supplement

*Annals of Statistics*, 40(1):466--493.
- Xiao, H. and Wu, W. B. (2012).

Covariance matrix estimation in time series.

*Handbood of Statistics*, 30:187--209.
- Xiao, H. and Wu, W. B. (2011).

A single-pass algorithm for spectrum estimation with fast convergence.

*IEEE Transactions on Information Theory*, 57(7):4720--4732.
- Drton, M. and Xiao, H. (2010).

Finiteness of small factor analysis models.

Annals of the Institute of Statistical Mathematics., 62(4):775-783. arXiv:math.ST/0908.1736
- Drton, M. and Xiao, H. (2010).

Smoothness of Gaussian conditional independence models.

*Algebraic Methods in Statistics and Probability II, Contemporary Mathematics,* 516:155--177.

American Mathematical Society, Providence, RI, 2010. arXiv:math.ST/0910.5447
- Xiao, H. and Zhou, W. (2010).

Almost sure limit of the smallest eigenvalue of some sample correlation matrices.

Journal of Theoretical Probability, 23(1):1-20, 2010.

**Preprints:**

- Liu, X., Xiao, H. and Chen, R. (2016+).

Convolutional autoregressive models for functional time series.

To appear in *J. Econometrics*.

*Han Xiao, June 2016*