Southwest Jiaotong University School of Mathematics


ag网站亚游登录  >  学术科研  >  学术交流  >  正文

“创源”大讲堂学术讲座--Peng, Liang教授

ag网站亚游登录:   作者:郑海涛     日期:2014-07-05 00:00:00   点击数:  



讲座题目Tail Dependence and Extreme Quantiles

报告人:  Peng Liang教授,复旦大学管理学院,Georgia Institute of Technology

主持人:    殷向荣教授
讲座时间:  2014年7月7日上午10:00

讲座地点:  犀浦校区二号教学楼X2511

内容简介:In this talk, I will introduce extreme value theory and propose new measures for detecting asymptotic independence and dependence, which plays an important role in managing catastrophic risks. Secondly we propose a semi-parametric method for estimating extreme quantiles, where nonparametric method fails and parametric method is not robust.



      Liang Peng,复旦大学管理学院教授,Georgia Institute of Technology教授。主要研究方向为:Extreme value theory and risk analysis in insurance and finance, Heavy tailed, long-range dependent, nonlinear time series, Nonparametric smoothing and empirical likelihood methods, Financial Econometrics, Copulas and actuarial sciences. 已在STAT SCI, ANN STAT, JASA, Econometric Theory等著名杂志发表多篇论文。








XML 地图 | Sitemap 地图