Professor Li Wai-keung: Grateful for the privilege to play a part in the development of time series analysis

On the left is my book Diagnostic Checks in Time Series, and on the right is Advances in Time Series Methods and Applications: The A. Ian McLeod Festschrift, edited by David A. Stanford, Hao Yu, and me.

With other Croucher Foundation Senior Research Fellow Awardees (2003).

Professor Li Wai-keung is a prominent time-series analyst and statistician, both locally and internationally. He has been the Research Chair Professor of Data Science and Dean of the Faculty of Liberal Arts and Social Sciences of this University since July, 2019. He was Head of the Department of Statistics and Actuarial Science HKU between 1997 and 2017.

Professor Li completed his undergraduate study in Mathematics at York University in Canada with a first class with distinction in 1975. He proceeded to obtain a Master of Arts degree in Mathematics from York University and a PhD in Statistics from the University of Western Ontario.

Over the past four decades, the professor has lived a very distinguished and vibrant academic life, winning numerous awards, titles and appointments from the field. He was a Croucher Foundation Senior Research Fellow (2003-2004), an Elected Member of the International Statistical Institute (1991), and an Elected Fellow of the American Statistical Association (2003) and the Institute of Mathematical Statistics (2006), to name but a few. He was among the HKU Scholars who ranked in the world’s top 1% for four successive years (2009-2012) by Thomson Reuters, according to Essential Science Indicators.

In this issue of FLASS FORWARD, Professor Li shares with us what inspired him to become an academic. He also tells us how to excel in the game of “publish or perish”, and offers words of wisdom that have guided him through his decades-long pursuit of scholarship.


Q: What planted a seed of interest in your heart for research work? Why did you choose statistics and time-series analysis as your research focus?

A: When I was a secondary school student, I came across the following quote from Albert Einstein:

“Bear in mind that the wonderful things you learn in your schools are the work of many generations, produced by enthusiastic effort and infinite labour in every country of the world. All this is put into your hands as your inheritance in order that you may receive it, honour it, add to it, and one day faithfully hand it on to your children. Thus do we mortals achieve immortality in the permanent things that we create in common.”


Throughout history, human beings have worked tirelessly to unearth the unknown world. Our predecessors have passed on to us a treasure trove of knowledge and wisdom. The great mathematician and physicist Sir Isaac Newton said: “If I have seen further [than others], it is by standing on the shoulders of giants.” The adages from Einstein and Newton ignited a spark in me, as they made me see that the exploration of knowledge is very meaningful and exciting work. By committing myself to research work, I am extending the legacy that our predecessors have worked very hard to establish. My research results will then become a base from where our followers can start their long journey of exploring the world of knowledge.

Let me tell you a little story about my research career. In the first two years of my PhD programme, I studied algebraic topology under the supervision of a professor from Cambridge University. At that time, I read an interview article about Samuel C.C. Ting in the North-South Pole magazine (editor’s translation of 南北極雜誌). The renowned physicist, who received the Nobel Prize in Physics of 1976 as one of the discoverers of the J particle (J Meson), was asked why he chose experimental physics instead of theoretical physics. Ting replied that his talent was that of the more common type and doing experimental work can make more contributions. His comment inspired me to change my study from pure mathematics to statistics. From then on, statistics, more specifically time-series analysis, became my life-long dedication.


Q: How can academics survive under the pressure to “publish or perish”?

Meeting my PhD supervisor Professor A. Ian McLeod (centre) at the A. Ian McLeod festschrift held at Western University, Canada, in 2014. First on the left is Professor Keith Hipel of University of Waterloo. Professor McLeod’s contributions to time series are both broad and influential. His work has put Canada and the University of Western Ontario on the map in the time series community.

A: The Cambridge University professor mentioned above – who supervised the first two years of my PhD study – gave me this advice: “You will have to be fashionable if you want to survive in the ‘publish or perish’ business.” His words have guided me throughout my whole academic career.

After two years of conducting research on algebraic topology, I changed my research area to statistics, and Professor A. Ian Mcleod became my supervisor. When working on my PhD paper under his advice, a question about the distribution of the residual autocorrelations of multivariate general linear time series model attracted my attention. At the time, it had been an open problem in the field for which no one could provide a satisfactory answer. I challenged it and provided a solution in just one week’s time. The Journal of the Royal Statistical Society Series B (JRSS B), one of the top four journals in statistics, accepted and published my paper within a month.


My advice to the ‘publish or perish’ aphorism: work on well-known open problems in the field.


Here comes my advice to the “publish or perish” aphorism: work on well-known open problems in the field. This will situate yourself in the most eye-catching area in your field. The problem might be challenging, but when you succeed in making breakthroughs about it, you will catch immediate attention from the academic world. What’s more, you need to work on it while keeping an eye on the clock, as you are likely competing with other people who are also trying to solve the same puzzle. If you are among the first few who make substantial progress in any long-standing problem, you will have a very high chance of getting your paper published.


Q: Which attribute is more pivotal in academic discoveries: insight or technique? How would you define them?

A: I see technique as a set of special skills you have acquired to complete a task in a methodical manner. Insight refers to the ability to grasp the essence of a problem, a pattern, an issue, or a phenomenon. It is an ability that helps you to identify which direction you should take to tackle a problem. I think many researchers have a similar experience: after being stuck on a problem for a long time, they are suddenly struck with the idea to use a totally different approach to solve the problem, and things finally work out. That is insight.

Technique and insight are somehow related to each other. If you are well-versed in the technique necessary for solving a problem, you are accumulating a feel about it. There might be a certain mystical dimension about insight, but most of the time, it comes when you have been keenly studying the same thing for a long time. When combined, you get a sense on how you can forge a path towards a solution.

Making good observations and asking the right questions will give you a higher chance of gaining insight. In one research project, I observed that volatility is usually larger in a bear market, which implies nonlinearity. To capture both kinds of nonlinearity, in terms of the mean and variance, I proposed a double threshold ARCH (Autoregressive Conditional Heteroskedasticity) model to measure financial market returns. I became the first to employ such an approach.

Creativity is quintessential for academic discoveries. Viewed this way, I think insight on a research topic is more important than technique at the end of the day.


Q: Where do you gain insight for your research?

A: “No captain can do very wrong if he places his ship alongside that of the enemy” is a famous adage found in Lord Nelson’s secret memorandum that he sent to his subordinates on the eve of the Battle of Trafalgar (1805). Keeping your enemies close is the first golden rule. I am not encouraging you to see your peers as a malicious enemy. Far from that! What I want to put forward is that academics should encourage benign competition and mutual inspiration.


Closed-door workshops are a well-known practice within academic circles, where experts in the field are invited to present and exchange ideas. Grasp every opportunity to take part in this type of private gathering, and you will definitely reap rewards. These gatherings are the kind that bring big shots together, intellectually bombarding and stimulating you. More importantly, you will learn what the top guns in the field are working on.

I was invited to the Research Workshop in Non-Linear Time Series held at the University of Edinburgh in July, 1989. It was a closed-door conference with just 40 participants coming from different parts of the world. Most of them are experts in non-linear time series analysis. I made many friends there, and above all, I met Professor Sir David Cox for the first time, a very famous British statistician and educator. I maintained a good friendship with the late professor until his death in 2022.

Secondly, there is a great truth in the Chinese adage, 教學相長, which means “teaching is learning” in English. Over the many years I have taught in different universities, I have learnt a lot from my teaching, and sometimes teaching provides me with ideas for doing my own research. I always remind my research students that teaching is the most direct way that an academic can contribute to society. It is our moral obligation to be a conscientious teacher.

Thirdly, being a good reviewer will bring you a lot of benefits. By reading other people’s articles, you can learn about things that are the state of the art in their fields, sometimes well before any of your peers. It helps to stay fashionable! When conducting peer reviews, do it professionally and honestly. It is bad form to divulge to the authors that you reviewing them. Do your due diligence to let the authors know their mistakes, and then make constructive suggestions that will benefit the authors and the academic community.


Q: Any inspirational sources, quotes or intellectuals that have left a life-long impact on your academic life?

I get much inspiration from this short book, Youth and Scholarship 《青年與學問》. It teaches me that to be a scholar, one needs to be compassionate about the world.

Youth and Scholarship is my secret book of wisdom (秘笈) on how to become a real scholar.

A: I am greatly inspired by the short book Youth and Scholarship (editor’s translation of《青年與學問》*) written by the late advocate of Neo-Confucianism Tang Chun-I (唐君毅). I read this book time and time again, whenever I need to take a break from my research and administrative work. Professor Tang expressed many inspirational ideas in this book, such as:

“Any kind of knowledge, when viewed from a distance, is like a small hill and a moat; when viewed closely, however, it looks like mountains and seas.” (editor’s translation of 「任何學問,遠望皆如一邱一壑;近觀則皆成泰山滄海。」, p32)

“If you don’t appreciate the difficulty of learning and the depth for attaining great scholarship, but are only interested in learning things that are simple and easy, then you are learning ephemeral knowledge only.” (editor’s translation of「如尚不知學問之艱難,不知求學問之深高遠大,便只知求平易淺近,則學問必朝生暮死。」p36)

The above quotes are some of the phrases I like the most in this short book. They remind me constantly about how an academic should behave and what real scholarship is. To attain real scholarship, we should set our goals and aim high. We should make good use of the treasures passed down to us from previous scholars, to push the frontier of knowledge further forward.

I encourage you to read Youth and Scholarship, which I see as a secret book of wisdom (秘笈) on how to become a real scholar. It is short enough that you can read it in one or two days, but if you take the time to digest its contents, you will find a lot of insights that will serve you well for the rest of your life.


Q: Can you share with us one of the most memorable moments throughout your academic life?

A: Before submitting my PhD thesis in 1981, my supervisor Professor A. Ian McLeod told me to bite the bullet and try solving a problem about long memory time series in one month. At that time, only a handful of people had heard of the problem. I accepted the challenge, and triumphed. Four decades have passed, but I still remember my excitement when I discovered the solution. This is the wonderful reward of exploring knowledge.


Q: What is the fundamental motivation behind your academic career?

Sir Clive Granger visited HKU Statistics and Actuarial Science Department in 2006 when I was the head of the department. The lady in the photo is his wife.

I obtained my PhD title on 4 September 1981. Signatories on the acceptance page include my PhD supervisor Professor A. Ian McLeod and Sir Clive Granger, external examiner of my PhD dissertation. Professor Granger shared the Nobel Memorial Prize in Economic Sciences with Professor Robert F. Engle in 2003.

A: Albert Einstein once said, “The most important motive for work in the school and in life is the pleasure in work, pleasure in its result, and the knowledge of the value of the result to the community.” (Ideas and Opinions, Albert Einstein on Education, p70, Dell Publishing Co., Inc., 1976) I cannot agree more with Einstein that the pleasure in work is most important when it comes to sustaining a life-long endeavour.

To keep yourself motivated, you need to enjoy your work. Sir Clive Granger was the external examiner of my PhD dissertation. He shared the Nobel Memorial Prize in Economic Sciences with Professor Robert F. Engle in 2003 for devising new statistical methods for dealing with the two key properties of many economic time series: time-varying volatility and non-stationarity. After obtaining my PhD title in 1981 and before his death in 2009, I met Sir Clive Granger regularly. I gained a lot of inspiration and advice about research from him. The late professor was passionate about research work. He liked writing papers and letting the world know about his findings. A busy and eminent scholar like him still regularly contributed his papers to C-grade or even D-grade journals. He didn’t mind. He just enjoyed sharing knowledge with others. The fun and passion he had was what motivated him to commit himself to research his whole life. And now, I feel the same way he did. 


Q: Any closing remarks you want to share?

A: To be an academic, I believe one needs to be compassionate about the world too. In the book mentioned above, Professor Tang cited a saying by Zhuge Liang (諸葛亮, AD181-234) on how to make a commitment for a lifetime: “We should be committed to lofty ideals, long for the teachings by distinguished scholars who came before us, control our lust, and abandon worldly thoughts that weaken our spirit. By doing so, lofty aspirations that are close to those of sages and men of virtue will be established in our heart. These are aspirations that resonate in our heart and guide us to be compassionate.” (editor’s translation of 夫志當存高遠,慕先賢,絕情慾,棄凝滯,使庶幾之志,揭然有所存,惻然有所感。p49)


Real scholars should try to use their research results to tackle real-life issues, to help people, and to make the world a better place to live.


When elaborating on this saying, Professor Tang said we must be determined to attain scholarship out of things that touch us and things we are compassionate about. And we should not pursue scholarship simply for acquiring career achievements and professional status. 「要立志依此類悱惻之意,依此不忍之心以造學問,不要只依求職業地位之心以造學問。」(p52-53) Professor Tang’s views echo my own thoughts. Real scholars should try to use their research results to tackle real-life issues, to help people, and to make the world a better place to live.  

I am grateful that I have lived a very fruitful academic life. I have made a few contributions to the field of statistics and time-series analysis. I have made fabulous lifelong friendships in the scholarly world. I have many memorable moments to cherish. I’d like to use the first item of the Westminster Shorter Catechism as my final remark. Question one of the Catechism asks: What is the chief end of man? And the answer is “Man’s chief end is to glorify God, and to enjoy Him forever.” I am very grateful to have the privilege to play a small part in the development of time series analysis and to appreciate the many elegant contributions made by my colleagues and students. I thank God for all the opportunities I have had to look upon the beauty of His creation.

*Note: Youth and Scholarship,《青年與學問》,唐君毅著, 三民書局出版(第二版),1974年