학력

• 서울대학교 통계학과 이학사 (2000)
• 서울대학교 통계학과 이학박사 (2007)

경력

• 고려대학교 인간유전체연구소 연구원 (2004)
• 서울대학교 통계학과 박사후연구원 (2007)
• 한국외국어대학교 통계학과 전임강사 (2008~2009)
• 한국외국어대학교 통계학과 조교수 (2009~2013)
• 한국외국어대학교 통계학과 부교수 (2013~2016)
• 한국외국어대학교 통계학과 교수 (2016~)

연구분야

• 다변량 시계열 분석
• 확률과정

주요논문 및 저서

논문

• [26] Lee, Y. and Lee, T. (2026) On the correction of Ljung–Box test for VAR with time-varying variance of unknown form based on wild bootstrap. Applied Economics Letters, Article-in-press.
• [25] Düker, MC. Jeong, S., Lee, T. and Baek, C. (2024) Detection of multiple change-points in high-dimensional panel data with cross-sectional and temporal dependence. Statistical Papers, 65, 2327-2359.
• [24] Lee. T. (2022) Wild bootstrap Ljung–Box test for residuals of ARMA models robust to variance change. Journal of the Korean Statistical Society, 51, 1005-1020.
• [23] Lee, T. and Baek, C. (2020) Block wild bootstrap-based CUSUM tests robust to high persistence and misspecification. Computational Statistics & Data Analysis, 150, 106996.
• [22] Yoon, Y., Lee, S. and Lee, T. (2017) Adaptive LASSO for linear regression models with ARMA-GARCH errors. Communications in Statistics-Simulation and Computation, 46, 3479-3490.
• [21] Seo, B., Noh, J. Lee, T. and Yoon, Y. (2017) Adaptive robust regression with continuous Gaussian scale mixture errors. Journal of the Korean Statistical Society, 46, 113-125.
• [20] Lee, T. and Park, C. (2017) Tests for serial correlation in mean and variance of a sequence of time series objects. Journal of Statistical Computation and Simulation, 87, 478–492.
• [19] Lee, T. (2016) Wild bootstrap Ljung–Box test for cross correlations of multivariate time series. Economics Letters, 147, 59-62.
• [18] Lee, T, Kim, M and Baek, C (2015) Tests for volatility shifts in GARCH against long-range dependence. Journal of Time Series Analysis, 36, 127-153.
• [17] Seo, B and Lee, T (2015) A new algorithm for maximum likelihood estimation in normal scale-mixture generalized autoregressive conditional heteroskedastic models. Journal of Statistical Computation and Simulation, 85, 202-215.
• [16] Lee, T, Park, C and Yoon, Y (2014) Bridge estimation for linear regression models with mixing properties. Australian and New Zealand Journal of Statistics, 56, 283-302.
• [15] Kim, M, Lee, T, Noh, J and Baek, C (2014) Quasi-maximum likelihood estimation for multiple volatility shifts. Statistics and Probability Letters, 86, 50-60.
• [14] Yoon, Y, Park, C and Lee, T (2013) Penalized regression models with autoregressive error terms. Journal of Statistical Computation and Simulation, 83, 1756-1772.
• [13] Lee, T (2013) On Jarque-Bera normality and cusum parameter change tests for BCTT-GARCH models. Economics Letters, 119, 50-54.
• [12] Lee, S and Lee, T (2012) Inference for Box-Cox Transformed Threshold GARCH Models with Nuisance Parameter. Scandinavian Journal of Statistics, 39, 568-589.
• [11] Lee, T  (2012) A Note on the Jarque-Bera Normality Test for ARMA-GARCH Innovations. Journal of the Korean Statistical Society, 41, 37-48.
• [10] Ha, J and Lee, T (2011) NM-QELE for ARMA-GARCH models with non-Gaussian innovations. Statistics and Probability Letters, 81, 694-703.
• [9] Lee, T and Lee, S (2011) Value-at-risk forecasting based on Gaussian mixture ARMA-GARCH model. Journal of Statistical Computation and Simulation, 81, 1131-1144.
• [8] Lee, S, Park, S and Lee, T  (2010) A Note on the Jarque-Bera Normality Test for GARCH Innovations. Journal of the Korean Statistical Society, 39, 93-102.
• [7] Lee, T and Lee, S (2010) Robust Estimation for Order of Hidden Markov Models Based on Density Power Divergence. Journal of Statistical Computation and Simulation, 80, 503-512.
• [6] Lee, T and Lee, S (2009) Normal Mixture Quasi Maximum Likelihood Estimator for GARCH models. Scandinavian Journal of Statistics, 36, 157-170.
• [5] Lee, T and Lee, S (2009) Consistency of minimizing a penalized density power divergence estimator for mixing distribution. Statistical Papers, 50, 67-80.
• [4] Lee, T and Lee, S (2008) Robust Estimation for the Order of Finite Mixture Models. Metrika, 68, 365-390.
• [3] Lee, T and Lee, S (2005) Test for Parameter Change in Linear Processes Based on Whittle's Estimator. Communications in Statistics: Theory and Methods 39, 2129-2141.
• [2] Lee, T and Lee, S (2005) Prevalence of insomnia and its relationship to menopausal status in middle-aged Korean women. Psychiatry and Clinical Neurosciences 59, 239-256.
• [1] Lee, T and Lee, S (2004) Cusum test for parameter change based on the maximum likelihood estimator. Sequential Analysis 23, 239-256.

학회발표

• [15] International Conference on Econometrics and Statistics, Jun 2024. “Block wild bootstrap based Ljung-Box test for VAR model with time-varying variance”
• [14] International Conference on Econometrics and Statistics, Jun 2018. “Block wild bootstrap-based CUSUM tests for simultaneous changes of mean and variance robust to high persistence”
• [13] International Conference on Econometrics and Statistics, Jun 2017. “Wild bootstrap Ljung box test for cross correlations of multivariate time series” 
• [12] Conference on Computational and Financial Econometrics, December 2015. “Test for serial correlation in mean and variance of a sequence of time series objects”
• [11] Joint statistical meeting, August 2015. “Tests for volatility shifts in GARCH against long-range dependence”
• [10] Conference on Computational and Financial Econometrics, December 2012. “Tests for volatility shifts in GARCH against long-range dependence”
• [9] Joint statistical meeting, August 2012. Adaptive robust regression with infinite Gaussian scale mixture errors
• [8] Adaptive robust regression with infinite Gaussian scale mixture errors
• [7] Conference on Computational and Financial Econometrics, December 2011. “Estimated quasi-maximum likelihood estimator for GARCH models based on non-parametric MLE”
• [6] Joint statistical meeting, August 2010. “The nonparametric maximum likelihood estimation for gaussian mixture innovations of GARCH model”
• [5] Conference of the Korean Statistical Society, November 2008. "Inference for power-transformed and threshold GARCH models with nuisance parameters" with Sangyeol Lee
• [4] Korean Mathematical Society Probability Workshop, June 2008. “Inference for power-transformed and threshold GARCH models with nuisance parameters”
• [3] Conference of the Korean Statistical Society, May 2008. “Normal mixture Quasi maximum likelihood estimator for GARCH models” with Sangyeol Lee
• [2] Korean Mathematical Society Probability Workshop, June 2007. “Normal mixture Quasi maximum likelihood estimator for GARCH models”
• [1] Conference of the Korean Statistical Society, November 2006. “Asymptotics for GARCH models with normal mixture innovations” with Sangyeol Lee

프로젝트

• [5] SR_MaaS 통합정보시스템 구축사업 중 수요예측 자문 (2024.12.~2026.12.) SRT
• [4] 이공학개인기초연구지원사업 (2016.06.~2022.05.) 한국연구재단
• [3] 일반연구자지원사업 (2013.06.~2016.05.) 한국학술진행재단
• [2] 일반연구자지원사업 (2010.05.~2013.04.) 한국학술진행재단
• [1] 신진교수연구지원사업 (2008년 7월~2010년 6월) 한국학술진흥재단