| 报告题目： | Estimation of Extreme Quantiles for Functions of Dependent Random Variables |
| 报 告 人： | Qiwei Yao |
| London School of Economics | |
| 报告时间： | 2014.6.30,14:30-16:00 |
| 报告地点： | 四牌楼会议室 |
| 相关介绍： | 摘要：Motivated by a risk management problem in financial industry, we propose a new method for estimating the extreme quantiles for a function of several dependent random variables. In contrast to the conventional approach based on extreme value theory, we do not impose the condition that the tail of the underlying distribution admits an approximate parametric form, and, furthermore, our estimation makes use of the full observed data. The proposed method is semiparametric as no parametric forms are assumed on all the marginal distributions. But we select appropriate bivariate copulas to model the joint dependence structure by taking the advantage of the recent development in constructing large dimensional vine copulas. Consequently a sample quantile resulted from a large bootstrap sample drawn from the fitted joint distribution is taken as the estimates for the extreme quantile. This estimator is proved to be consistent as long as the quantile to be estimated is not too extreme. The reliable and robust performance of the proposed method is further illustrated by simulation. 报告人简介：姚琦伟教授为我系77级本科生、82级硕士生，85-87年于武汉大学师从我国著名统计学家张尧庭教授攻读博士学位。1989年获红宝奖学金（Humboldt Foundation）资助赴德国留学，随后分别在德国的Heidelberg大学和英国Kent大学 Canterbury 分校工作，如今任伦敦经济和政治学院统计系主任、教授。姚琦伟教授至今已在公认的统计学国际顶尖杂志The Annals of Statistics(统计年刊)，The Journal of the Royal Statistical Society, B(英国皇家统计杂志)、Journal of the American Statistical Association(美国统计学会杂志)、Biometrika（生物统计）上发表许多重要论文， 2003年在世界著名的Springer出版社和世界著名统计学家Fan, J. 联合出版专著《Nonlinear Time Series: Nonparametric and Parametric Methods》，受到了全球统计学界广泛赞誉。姚琦伟教授非常关心国内统计研究的发展，2004. 10 ―2007.10年任北京大学光华管理学院特聘教授，2004年10月起任中国科学院统计研究中心副主任。姚琦伟教授为国际数理统计学会Fellow，国际统计学会Elected member，英国皇家统计学会Fellow，美国统计学会、国际泛华统计学会、国际Bernoulli学会等会员。由于姚琦伟教授的出色工作，他曾被聘请或正在担任许多著名统计杂志的编委，如：Associate Editor of the Annals of Statistics(统计年刊，国际顶尖杂志), January 2004 � .Co-Editor of the Statistics and Its Interface（国际著名杂志）, June 2007 � .Co-Editor of the Sankhya（国际著名杂志）, May 2004 � 2007. Associate Editor of the Australian and New Zealand Journal of Statistics(澳大利亚和新西兰统计杂志，国际著名杂志), February 2001 �2007. Associate Editor of the Journal of the Royal Statistical Society, B(英国皇家统计杂志，国际顶尖杂志), April 1998 � July 2002. 目前，姚琦伟教授兼任我校客座教授。 |
