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Weichi Wu Associate Professor

Research Interests：Non-stationary Time Series, High-dimensional Time Series, Functional Time Series, Multiscale Inference, Change Point Problem, Statistical Network Analysis, Nonparametric Method, Forecasting, M-estimation.

Office: Room 114, Weiqing Building, Tsinghua University, Beijing, China.


Phone: +86-10-62772725


Email: [email protected]


职称 Associate Professor 地址 Room 114, Weiqing Building, Tsinghua University, Beijing, China.
电话 +86-10-62772725 邮箱 [email protected]
个人主页

Employment

  • 2024.7-                       Associate          Professor (Tenure Track)  Department of Statistics and Data Science, Tsinghua University, China

  • 2020.12-2024.7  Associate Professor (Tenure Track)  Department of Industrial Engineering, Center for Statistical Science, Tsinghua University, China.

  • 2018.12-2020.12  Assistant Professor (Tenure Track)  Department of Industrial Engineering, Center for Statistical Science,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

  • 2010.09-2015.11  University of Toronto, Canada  Ph.D. in Statistics, Supervisor: Prof. Zhou Zhou

  • 2008.09-2010.02  Columbia University in the City of New York, USA  M.A. in Statistics

  • 2004.09-2008.07  Peking University, China  B.S. in Physics

Associate Editor

  • 2024-  Statistics & Probability Letters

Publications, (# represents students, ∗ represents corresponding author)

  • Fan, X.#, Li, B.#, Leng, C.*, Wu, W.* Learning Changes in Graphon Attachment Network Models. ICML 2025

  • Huang, Y., Wang, C., Tang, J., Wu, W.*, Xi, R.* A Generic Family of Graphical Models: Diversity, Effi-ciency, and Heterogeneity. ICML 2025

  • Chen, X., & Huang, K. , & Wu, W.*, & Jiang, H. *(2025) Detecting Multiple Changepoints by Exploiting Their Spatiotemporal Correlations: A Bayesian Hierarchical Approach. INFORMS Journal on Data Science, Accept

  • Dette, H., & Wu, W.* (2024+) Confidence Surfaces for the Mean of Locally Stationary Functional Time Series. Statistica Sinica, to appear, doi:10.5705/ss.202023.0150

  • Wu,W.*, Olhede, S.C., & Wolfe, P.J., (2025) Tractably Modelling Dependence in Networks Beyond Exchangeability. Bernoulli, 31 (1) 584 - 608.

  • Bai, L.#,& Wu, W.* (2024). Difference-based covariance matrix estimate in time series nonparametric regression with applications to specification tests. Biometrika,1277–1292.

  • Bai, L#.& Wu, W.* (2024). Detecting long-range dependence for time-varying linear models. Bernoulli,30(3), 2450-2474.

  • Wu,W. & Zhou, Z*. (2024), Multiscale jump testing and estimation under complex temporal dynamics.Bernoulli,30(3): 2372-2398.

  • Dhar, S.S. &Wu,W.* (2023), Comparing time varying regression quantiles under shift invariance. Bernoulli,29(2):1527-1554.

  • Dette, H., & Wu, W.*, (2022) Prediction in locally stationary time series, Journal of Business & Economic Statistics, 40(1), 370-381.

  • Dette, H., Dhar, S.S. & Wu,W.*, (2021) Identifying shifts between two regression curves, Annals of the Institute of Statistical Mathematics 1-35.

  • Dette, H.*, & Wu, W. (2019). Detecting Relevant Changes in the Mean of a Non-stationary Process. The Annals of Statistics, 47(6), 3578–3608. (alphabetical authorship)

  • Dette, H., Wu, W.*, & Zhou, Z. (2019). Change Point Analysis of Correlation in Non-stationary Time Series. Statistica Sinica, 29(2), 611-644.

  • Wu, W.*, & Zhou, Z. (2018). Gradient-based Structural Change Detection for Nonstationary Time Series M-estimation. The Annals of Statistics, 46(3), 1197-1224.

  • Wu, W.*, & Zhou, Z. (2018). Simultaneous Quantile Inference for Non-stationary Long-memory Time Series. Bernoulli, 24(4A), 2991-3012.

  • Wu, W.*, & Zhou, Z. (2017). Nonparametric Inference for Time-varying Coefficient Quantile Regression. Journal of Business & Economic Statistics, 35(1), 98-109.

Funding

  • 2023.01 - 2026. 1  Principal Investigator, NSFC General program No.12271287,460,000 Chinese Yuan.

”Statistical Analysis of Locally Stationary High Dimension Time Series and Functional Time Series”

  • 2020.01 - 2022. 12  Principal Investigator, NSFC Young program No.11901337,289,000 Chinese Yuan.

”Statistical Inference and Forecasting for Locally Stationary Time Series”

Teaching

  • Advanced Mathematical Statistics  Fall 2020, 2021, 2022, 2023, 2024

  • Financial Statistics  Spring 2021, 2024

  • Analysis of Statistical Network  Spring 2020, 2022, 2025

  • Panel Data Analysis  Fall 2019

Ph.D Supervision and Awards

  • Lujia Bai  2024 ICSA China Conference Junior Researcher Award;2024 Hannan Graduate Student Travel Award;Scholarship for Bernoulli-IMSWorld Congress Pre-Meeting for Young Researchers anconference (for UPPER-MIDDLE-INCOME ECONOMIES) 2024.The 2021 Internation Workshop on Statistical Theory and Related Fields

  • Other students: Fangwei Wu, Xinyuan Fan, Bufan Li, Zirui Wang, Erkang Zhu Professional Activity Scientific

Programme Activity

  • Scientific Programme Committee  The 7th International Conference on Econometrics and Statistics (EcoSta 2024)

  • Awards committee  2024 ICSA China Conference Junior Researcher Award

  • Reviewers  Mathematical Reviews

Invited Academic Presentations2020

  • 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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