统计与数据科学系系列学术报告之五百零一期

时间：2026年2月9日（星期一）10:00-11:00

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303室

报告人：何易教授宁波东方理工大学

题目：Extreme Value Statistics for General Heterogeneous Data through the Average Tail

摘要： In the general setting of independent data with possibly very different distributions, extreme value estimators inevitably target the tail of the average distribution function. We consider all possible cases, that is, the extreme value index of the average distribution can be negative, zero, or positive, and we present novel asymptotic theory for the moment estimator. Our results require a different and much more challenging proof than those for the power-law case and are based on a uniform central limit theorem for the underlying weighted tail empirical process. We find that, due to the heterogeneity of the data, the asymptotic variance of the moment estimator can be much smaller than that in the i.i.d. case. We also unravel the improved performance of high quantile and endpoint estimators in this setup. In case of a heavy tail, we ameliorate the Hill estimator by taking an optimal combination of the Hill and the moment estimator. Simulations show the good finite-sample behavior of our limit results. Finally we present applications to the maximum lifespan of monozygotic twins, the ultimate 200m running world records, and to the tail heaviness of energies of earthquakes around the globe.

个人简介：何易教授现任宁波东方理工大学数理统计学教授、中国科学技术大学兼职博士生导师。先后获得英国剑桥大学硕士学位和荷兰蒂尔堡大学计量经济学博士学位。曾任荷兰阿姆斯特丹大学长聘副教授、澳大利亚莫纳什大学长聘助理教授，并曾担任荷兰丁伯根经济研究所研究员。2025 年入选荷兰青年经济学家排行榜，位列第 7 名。其研究成果发表于数理统计与计量经济学领域的多种国际顶级期刊，包括 Journal of the American Statistical Association (JASA)、The Annals of Statistics (AoS)、Journal of the Royal Statistical Society: Series B (JRSS-B)、Journal of Business & Economic Statistics (JBES) 和 Journal of Econometrics (JoE) 等。在极值统计等研究方向上作出重要贡献，并曾获荷兰范丹齐格奖提名。