Cheng–Der Fuh

National Central University — Taiwan

Decision Sciences · Social Sciences

15h-index663citations91works2.22yr avg
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Research Topics

Probability and Risk Models(22), Financial Risk and Volatility Modeling(21), Stochastic processes and financial applications(18), Statistical Methods and Inference(16), Bayesian Methods and Mixture Models(15)

Publications91 total

Rényi divergence in hidden Markov models
Machine Learning·2025Open Access
Efficient importance sampling for copula models
arXiv (Cornell University)·2025Open Access
Estimating a common break point in means for long‐range dependent panel data
Journal of Time Series Analysis·2024
Determine the Number of States in Hidden Markov Models via Marginal Likelihood
arXiv (Cornell University)·2024· 2 citedOpen Access
Kullback-Leibler Divergence and Akaike Information Criterion in General Hidden Markov Models
IEEE Transactions on Information Theory·2024· 7 cited
Efficient exponential tilting with applications
Statistics and Computing·2024· 4 cited
Markov chain importance sampling for minibatches
Machine Learning·2023· 1 citedOpen Access
A General Framework for Importance Sampling with Markov Random Walks
arXiv (Cornell University)·2023Open Access
Kullback-Leibler Divergence and Akaike Information Criterion in General Hidden Markov Models
arXiv (Cornell University)·2023· 2 citedOpen Access
A General Framework for Importance Sampling with Latent Markov Processes
SSRN Electronic Journal·2023· 1 citedOpen Access
Asymptotic Behavior of the Maximum Likelihood Estimator for General Markov Switching Models
Statistica Sinica·2022· 1 citedOpen Access
Rényi Divergence in General Hidden Markov Models
arXiv (Cornell University)·2021Open Access
Asymptotic behavior for Markovian iterated function systems
Stochastic Processes and their Applications·2021· 4 cited
Option Pricing with Markov Switching
Journal of Data Science·2021· 27 citedOpen Access
Credit Risk Propagation in Structural-Form Models
SIAM Journal on Financial Mathematics·2021
Asymptotically Optimal Change Point Detection for Composite Hypothesis in State Space Models
IEEE Transactions on Information Theory·2020Open Access
Simulating false alarm probability in <i>K</i>-distributed sea clutter
Communications in Statistics - Simulation and Computation·2020
Computerized adaptive test using raw responses for item selection: Theoretical results and applications for the up-and-down method
Statistics and Its Interface·2020· 1 cited
Reply to on some problems in the article "Efficient likelihood estimation in state space models" by Cheng-Der Fuh [Ann, Statist. 34 (2006) 2026-2068]
arXiv (Cornell University)·2019Open Access
Asymptotically Optimal Change Point Detection for Composite Hypothesis\n in State Space Models
arXiv (Cornell University)·2019Open Access
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Frequent Co-authors

Inchi Hu(7), Charles Chang(5), Shih‐Kuei Lin(5), Huei-Wen Teng(5), Chu-Lan Michael Kao(4), Yajun Mei(2), Ren-Her Wang(2), Tze Leung Lai(2), Edward H. Ip(2), Gerold Alsmeyer(2), Ya-Hui Hsu(2), Min‐Te Chao(2), Ren-Her Wang(2), Tianxiao Pang(2), Ren‐Her Wang(2), Ming-Hsuan Kang(2), Krishna B. Athreya(1), Kwok Wah Remus Ho(1), Yi‐Hsuan Lee(1), Sheng-Feng Luo(1)