姚琦伟简介
简单介绍
姚琦伟1982年毕业于南京东南大学数学力学系,1984年在该校获应用数学硕士学位,1987年在武汉大学获统计学博士学位,1989至1991期间获德国洪堡基金会资助赴德国费莱堡大学及海德堡大学访问,现为伦敦经济与政治科学学院统计学教授。
姚琦伟教授1993-1995在英国肯特大学任数学与统计学院讲师,1995-1999在该校任高级讲师。2000-2002在英国伦敦经济与政治科学学院统计系任指导教师,2002年10月将任该系讲座教授。
姚琦伟教授一直从事统计学的教学和科研工作, 主要研究领域为:非线性及线性时间序列分析、 非参数回归分析、 时空过程分析、经验似然及bootstrap方法, 以及统计在金融, 经济等方面中的应用。 姚琦伟教授迄今已发表学术论文50多篇,并获得EPSRC、BBSRC等英国国家基金会资助的多项研究基金项目。其专著"非线性时间序列:非参数及参数方法"(与范剑青合著)将于2003年由Springer出版。目前,姚琦伟教授担任皇家统计学会杂志副主编、澳大利亚和新西兰统计杂志副主编,他还是皇家统计学会荣誉会员、 国际统计研究所推选成员、美国统计协会、 数理统计学会, 泛华统计学会会员。
研究兴趣
非线性及线性时间序列分析
非参数回归分析
时空过程分析
经验似然及bootstrap方法
统计在金融, 经济等方面中的应用。
Recent Publications and Working Papers
Inference in ARCH and GARCH models. (With P. Hall.) Econometrica. 2003, 71, 285-317.
Adaptive varying-coefficient linear models. (With J.Fan and Z.Cai.) J. Roy. Statist. Soc. B. 2003, 65, 57-80.
Date tilting for time series. (With P.Hall.) J. Royal Statist. Soc, B. 2003, 65, 425-442.
Inference in components of variance models with low replication. (With P. Hall.) Ann. Statist. 2003, 31, 414-441.
Asymptotics of set-indexed conditional empirical processes based on dependent data. (With W. Polonik.) J. Multivariate Analysis . 2002, 80, 234-255.
Moving-maximum models for extrema of time series. (With P.Hall and L.Peng.) J. Stats. Plann. Inference, 2002, 103, 51-63.
Prediction and nonparametric estimation for time series with heavy tails. (With P.Hall and L.Peng.) J. Time Series Analysis, 2002, 23, 313-331.
Nonparametric estimation and symmetry tests for conditional density functions. (With R.J. Hyndman.) J. Nonparametric Statist. 2002, 14, 259-278.
Smoothing for discrete-valued time series. (With Z.Cai and W.Zhang.) J. Royal Stat. Soc. B. 2001, 63, 357-375.
Bootstrap estimation of actual significance levels for tests based on estimated nuisance parameters. (With W.Zhang and H.Tong.) Statistics and Computing. 2001, 11, 367-371.
A conditional density approach to the order determination of time series. (With B.Finkenstaedt and H.Tong.) Statistics and Computation, 2001, 11, 229-240.
Conditional minimum volume predictive regions for stochastic processes. (With W. Polonik) J. Ameri. Statist. Assoc. 2000, 95, 509-519.
Functional-coefficient regression models for nonlinear time series. (With Z. Cai and J. Fan) J. Ameri. Statist. Assoc. 2000, 95, 941-956.
Common structure in panels of short time series. (With H.Tong, B.Finkenstaedt and N.C.Stenseth) Proceeding Royal Soc. Land. B. 2000, 267, 2457-2467.
Nonparametric estimation of ratios of noise to signal in stochastic regressions. (With H. Tong) Statistica Sinica, , 2000, 10, 751-770.
Empirical transform estimation for indexed stochastic models. (With B.J.T. Morgan) J. Roy. Statist. Soc. B, 1999, 61, 127-41.
Methods for estimating a conditional distribution function. (With P. Hall & R.C.L. Wolff) J. Ameri. Statist. Assoc. 1999, 94, 154-63.
Efficient estimation of conditional variance functions in stochastic regression. (With J. Fan) Biometrika, 1998, 85, 645-60.
Linearity testing using local polynomial approximation. (With V. Hjellvik & D.Tjostheim) J. Statist. Plann. Inference, 1998, 68, 295-321.
Cross-validatory bandwidth selections for regression estimation based on dependent data. (With H.Tong) J. Statist. Plann. Inference, 1998, 68, 387-415.
A bootstrap detection for operational determinism. (With H Tong) Physica, D, 1998, 115, 49-58.
Conditional boundary crossing probabilities and two-stage tests for a change-point. Scandi. J. Statist. 1996, 23, 511-25.
Estimation of conditional densities and sensitivity measures in nonlinear dynamical systems. (With J. Fan & H. Tong) Biometrika, 1996, 83, 189-206.
Asymmetric least squares regression estimation: a nonparametric approach. (With H.Tong) J. Nonparametric Statist. 1996, 6, 273-292.
On initial-condition sensitivity and prediction in nonlinear stochastic systems. (With H.Tong) Bull. Int. Statist. Inst. 1995, IP 10.3, 395-412.
On prediction and chaos in stochastic systems. (With H. Tong) Phil. Trans. Roy. Soc. Land. A, 1994, 348, 357-69. (The extended version is published in Chaos and Forecasting , 1995, ed. by H Tong, World Scientific, Singapore, 57-86.)
Quantifying the inference of initial values on nonlinear prediction. (With H. Tong) J. Roy. Statist. Soc. B, 1994, 56, 701-25.
On subset selection in non-parametric stochastic regression. (With H. Tong) Statistica Sinica, 1994, 4, 51-70.
Boundary crossing probabilities of some random fields related to likelihood ratio test for epidemic alternatives. J. Appl. Probab. 1993, 30, 52-65.
Asymptotically optimal detection of a change in a linear model. Sequential Analysis, 1993, 12, 201-210.
Tests for change-points with epidemic alternatives. Biometrika, 1993, 80, 179-91.
ps:这个简介似乎老了点。
[此贴子已经被作者于2007-7-4 15:30:48编辑过]