Dr. P. (Phyllis) Wan
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.
Publications
Article (9)
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Academic (9)
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Wan, P., & Davis, RA. (2022). Goodness-of-fit testing for time series models via distance covariance. Journal of Econometrics, 227(1), 4-24. https://doi.org/10.1016/j.jeconom.2020.05.008
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Cai, J. J., Wan, P., & Ozel, G. (2021). Parametric and non-parametric estimation of extreme earthquake event: the joint tail inference for mainshocks and aftershocks. Extremes, 24(2), 199-214. https://doi.org/10.1007/s10687-020-00400-4
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Wan, P., Wang, T., Davis, RA., & Resnick, SI. (2020). Are extreme value estimation methods useful for network data? Extremes, 23, 171-195. https://doi.org/10.1007/s10687-019-00359-x
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Auerbach, J., & Wan, P. (2020). Forecasting the Urban Skyline with Extreme Value Theory. International Journal of Forecasting, 36(3), 814-828. https://doi.org/10.1016/j.ijforecast.2019.09.004
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Janßen, A., & Wan, P. (2020). K-means clustering of extremes. Electronic Journal of Statistics, 14(1), 1211-1233. https://doi.org/10.1214/20-EJS1689
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Wan, P., & Davis, RA. (2019). Threshold selection for multivariate heavy-tailed data. Extremes, 22, 131-166. https://doi.org/10.1007/s10687-018-0316-x
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Davis, RA., Matsui, M., Mikosch, T., & Wan, P. (2018). Applications of distance covariance to time series. Bernoulli, 24(4A), 3087-3116. https://doi.org/10.3150/17-BEJ955
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Wan, P., Wang, T., Davis, RA., & Resnick, SI. (2017). Fitting the linear preferential attachment model. Electronic Journal of Statistics, 11(2), 3738-3780. http://hdl.handle.net/1765/112414
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Samarodnitsky, G., Resnick, SI., Towsley, D., Davis, RA., Willis, A., & Wan, P. (2016). Nonstandard regular variation of in-degree and out-degree in the preferential attachment model. Journal of Applied Probability, 53(1), 146-161. https://doi.org/10.1017/jpr.2015.15
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Address
Office: ET-45
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Postbus 1738
3000 DR Rotterdam
Netherlands
