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현직교수

이상열 교수

Sangyeol Lee

연구분야확률과정론 시계열분석
주소25-432
연락처880-8814
이메일sylee@stats.snu.ac.kr
RESEARCH AREAS
Time series analysis
Financial econometrics
Inference for stochastic processes
Risk management
DEGREES
1991. 08
University of Maryland, Department of Mathematics Ph.D., Seoul National University, Dept.of
Computer Science & Statistics B.S. Feb 1986
BIOGRAPHY
PERSONAL
Birthdate: November 16, 1963
Birthplace: Seoul, Korea
Citizenship: Republic of Korea
EXPERIENCE
Professor at Department of Statistics, Seoul National University (2006-present)
Associate Professor at Department of Statistics, Seoul National University (2001-2006)
Assistant Professor at Department of Statistics, Seoul National University (1997-2001)
Assistant Professor at Department of Statistics, Sookmyung Women’s University (1994-1997)
Insturctor at Department of Statistics and Computer Science, Seoul National University (Jun 1993-Feb 1994)
Visiting Faculty at University of Maryland, Department of Mathematics (Nov 1992-May 1993)
Visiting Assistant Professor at Academia Sinica, Taipei, Taiwan (Oct 1991- Oct 1992)
LATEST ACHIEVEMENTS
2003-present
Associate Editor of Sequential Analysis
2006-present
Associate Editor of Annals of Institute of Statistical Mathematics
2006-present
Associate Editor of Asia and Paci-c Markets
2006-present
Associate Editor of Journal of Statistical Methodology
2006-present
Associate Editor of Journal of Japan Statistical Society
2006-present
Associate Editor of Journal of Korean Statistical Society
2001-2005
Associate Editor of Korean Communications in Statistic
Member of Korean Statistical Society
SELECTED PUBLICATIONS
Maximum entropy test for GARCH models
J Lee, S Lee, S Park
– Statistical Methodology 22, 8-16 2015
Minimum density power divergence estimator for Poisson autoregressive models
J Kang, S Lee
– Computational Statistics & Data Analysis 80, 44-56 2014
Monitoring change point for diffusion parameter based on discretely observed sample from stochastic differential equation models
S Lee, M Guo
– Applied Stochastic Models in Business and Industry 2014
Monitoring test for stability of copula parameter in time serie
O Na, J Lee, S Lee
– Journal of the Korean Statistical Society 2014
Parameter Change Test for Poisson Autoregressive Models
J Kang, S Lee
– Scandinavian Journal of Statistics 1 2014
Goodness of fit test for discrete random variables
S Lee
– Computational Statistics & Data Analysis 69, 92-100 2014
Quantile Regression for Location-Scale Time Series Models with Conditional Heteroscedasticity
J Noh, S Lee
– arXiv preprint arXiv:1401.0688 2014
First page preview
S Banerjee, M Baron, HP Chan, S Chattopadhyay, S Christensen, …
– Sequential Analysis: Design Methods and Applications 33 (4) 2014
Minimum density power divergence estimator for covariance matrix based on skew t distribution
B Kim, S Lee
Statistical Methods & Applications, 1-11 2014
The Bickel–Rosenblatt test for continuous time stochastic volatility models
LC Lin, S Lee, M Guo
– TEST, 1-24 2014
Residual Based Cusum Test for Parameter Change in AR-GARCH Models
S Lee, J Lee
– Modeling Dependence in Econometrics, 101-111 2014
AWARDS
2010.11.
한국갤럽학술상, 한국통계학회
2010
Korean Academical Gallup Awards