统计与数据科学系系列学术报告之五百一十八期

时间：2026年7月21日（星期二）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302室

报告人：周晨教授

荷兰Erasmus University Rotterdam

题目：Trends in tail dependence of heteroscedastic extremes

摘要：We consider multivariate extreme value statistics for independent but nonidentically distributed random vectors. In particular, the data may have varying tail copulas and also heteroscedastic marginal distributions. Assuming smoothly changing tail copulas, we propose a nonparametric estimator for the integrated tail copula, as well as one for the local tail copula. We establish the asymptotic behavior of both estimators. Notably, the heteroscedastic marginals do not affect the limiting processes. Finally, we use the main result for the integrated tail copula to test for a constant tail copula across all observations. This is a joint work with John Einmahl (Tilburg University)

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.