Biography
Phyllis Wan is an Assistant Professor at the Department of Econometrics, Erasmus University Rotterdam. Her academic interests include statistical and econometric methods, quantitative risk management, high-dimensional data and machine learning. Her recent research focuses on extreme value analysis and its applications in economics, finance, meteorology and hydrology. She holds a PhD from Columbia University.
Erasmus School of Economics
Assistant professor | Econometrics
- wan@ese.eur.nl
- Room
- ET-45
- Location
- Burg. Oudlaan 50, Rotterdam
More information
Work
- Phyllis Wan & RA Davis (2022) - Goodness-of-fit testing for time series models via distance covariance - Journal of Econometrics, 227 (1), 4-24 - doi: 10.1016/j.jeconom.2020.05.008 - [link]
- Juan Juan Cai, Phyllis Wan & G Ozel (2021) - Parametric and non-parametric estimation of extreme earthquake event: the joint tail inference for mainshocks and aftershocks - Extremes, 24 (2), 199-214 - doi: 10.1007/s10687-020-00400-4 - [link]
- Phyllis Wan, T Wang, RA Davis & SI Resnick (2020) - Are extreme value estimation methods useful for network data? - Extremes, 23, 171-195 - doi: 10.1007/s10687-019-00359-x - [link]
- J Auerbach & Phyllis Wan (2020) - Forecasting the Urban Skyline with Extreme Value Theory - International Journal of Forecasting, 36 (3), 814-828 - doi: 10.1016/j.ijforecast.2019.09.004 - [link]
- A Janssen & Phyllis Wan (2020) - K-means clustering of extremes - Electronic Journal of Statistics, 14 (1), 1211-1233 - doi: 10.1214/20-EJS1689 - [link]
- Phyllis Wan & RA Davis (2019) - Threshold selection for multivariate heavy-tailed data. - Extremes, 22, 131-166 - doi: 10.1007/s10687-018-0316-x - [link]
- RA Davis, M Matsui, T Mikosch & Phyllis Wan (2018) - Applications of distance covariance to time series. - Bernoulli, 24 (4A), 3087-3116 - doi: 10.3150/17-BEJ955 - [link]
- Phyllis Wan, T Wang, RA Davis & SI Resnick (2017) - Fitting the linear preferential attachment model. - Electronic Journal of Statistics, 11 (2), 3738-3780 - [link]
- G Samarodnitsky, SI Resnick, D Towsley, RA Davis, A Willis & Phyllis Wan (2016) - Nonstandard regular variation of in-degree and out-degree in the preferential attachment model. - Journal of Applied Probability, 53 (1), 146-161 - doi: 10.1017/jpr.2015.15 - [link]
Topics in Advanced Statistics
- Level
- master
- Year Level
- master
- Year
- 2022
- Course Code
- FEM21039
f