统计与数据科学系系列学术报告之四百八十期

时间： 2025年7月16日（周三）15:00-16:00

主持人：复旦大学管理学院统计与数据科学系黎德元教授

地点：史带楼301室

报告人：周晨教授

荷兰Erasmus University Rotterdam

题目： High dimensional inference for extreme value indices

摘要：When applying multivariate extreme values statistics to analyze tail risk in compound events defined by a multivariate random vector, one often assumes that all dimensions share the same extreme value index. While such an assumption can be tested using a Wald-type test, the performance of such a test deteriorates as the dimensionality increases. This paper introduces a novel test for testing extreme value indices in a high dimensional setting. We show the asymptotic behavior of the test statistic and conduct simulation studies to evaluate its finite sample performance. The proposed test significantly outperforms existing methods in high dimensional settings. We apply this test to examine two datasets previously assumed to have identical extreme value indices across all dimensions.

个人简介：Prof. Chen Zhou is Professor of Mathematical Statistics and Risk Management at Erasmus University Rotterdam. His research focuses on extreme value statistics and quantitative risk management. His statistical work appears in Annals of Statistics, Journal of the Royal Statistical Society (Series B), Journal of American Statistical Association, Biometrika, among others. In addition, his research spans to the field of finance and economics, and has been published in leading journals including Journal of Financial and Quantitative Analysis and Journal of Economic Theory. Chen Zhou serves as the Area Editor of Economics, Finance and Insurance at the journal Extremes. He received his PhD (2008) from Erasmus University Rotterdam, after completing his Bachelor (2001) and Master (2003) degrees at Peking University.