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数理学院统计学系列学术报告 (11月25日)
发布时间:2016-11-22 

报告题目: Tail Dependent Pattern Recognitions in China’sSmog Extreme Co-movements

报告人:张正军教授,美国威斯康星大学统计系

时间:1125(周五)  下午3:30—4:30

地点:数理楼3304

Abstract

China’s smog problem has become very serious and has been drawing widelyattentions among government administrators, ordinary civilians, and international societies. The smog does hurt not only China’s economy, but also theworld’s economic development. It raises a great health concern, especially whenextreme smog occurs. China’s extreme smog outstands in its frequency, duration, severity and spatial property. This talk intends to conduct systematicstatistical analysis on smog’s spatial extreme dependence patterns using hourlyPM2.5 data from 945 stations in China. The generalized extreme value (GEV)distribution is used to model extreme smog for each station to disclose theirindividual tail characteristics. Spatial maps using the inverse distance methodare drawn to show its spatial diversity in tail lengths. Seven smog zones are thenlocated via estimated shape parameters. Using transformed unit Fréchet scales,a class of tail quotient correlation coefficients (TQCC) is performed to investigate tail dependencies among stations within each smog zone. City familiessuffering simultaneous extreme smog are identified through certain algorithm on strong tail dependence pairs between and inside cities. Tail dependencieswith lagged hours are also calculated to show the time difference of the extremesmog co-movements among stations as well as the spatial variety. Beyond smogapplication, the proposed study methodology can easily be adapted to otherextreme climatic risk studies, and medical image studies with rare diseases. (A joint work with Lu Deng and Chao Zhou)

报告人简介:张正军教授,美国北卡大学统计学博士,威斯康星大学统计系教授。研究领域包括非线性金融时间序列建模、大数据的极值分析学、金融风险度量、极端气象条件的统计建模、系统性危机预警的统计建模、非对称因果推断等。目前担任国际数理统计学会(IMS)财务主管、复旦大学大数据学院荣誉院长助理、北京大学经济学院讲座教授、JoE金融统计与风险管理特刊主编、国际商务及经济统计期刊Journal of Business & Economic Statistics、国际概率统计期刊JKSSStatistics and Its Interface等多个国际SCI期刊副主编。

欢迎大家参加!

联系人:薛留根,程维虎,谢琍

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