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Cunwei Fan (范存炜)

Ph.D. candidate at University of Illinois Interested in physics, statistics and quantatitive finance


Travel Experience to Hawaii

Travel Plan I have always been dreaming of traveling to Hawaii and enjoy the beach and sunshine. This spring break we got cheap tickets and make our plan to...

EM Algorithm for Linear Clusters

Here is an interesting situation occurred to me. In a scatter plot, it is clear that there are two straight lines and each line is contanminated by some nois...

Some Properties of Linear Regression

If we regress $X$ on $Y$ and get $\beta$ as the slope and if we regress $Y$ on $X$ and get slope $\beta’$. What is the product of $\beta$ and $\beta’$


Lecture 02 (Jan 24, 2022)

Calculate the variance and convergence rates for autocorrelation sample estimator by central limit theorem. Introduce statistical tests for ACF.

Lecture 07 (Feb 07, 2022)

Introduction to MA model and conditional loglikelihood maximization method. Introdcution to ARMA model

Lecture 10 (Feb 14, 2022)

Spectral density as the Fourier transform of autocovariance, the sample version spectral representation theory and sample periodogram

Lecture 11 (Feb 16, 2022)

Spectral representation sample version proof. Variance decomposition into Fourier components. Estimate spectral density