报告主题：金融与空间统计研究中心成立仪式暨学术报告

报告时间：2016年3月31日（星期四）上午9:00-12:00  

报告地点：崇德楼202会议室  

报告人：国际知名教授、伦敦经济学院(LSE)统计专业主席、英国皇家统计学会会刊副主编、美国统计学会会刊副主编Qiwei Yao博士和(中国)空间统计学会理事长、北京大学教授房祥忠博士  

两场报告题目及摘要：  

1.空间实际距离和传播速度的估计(房祥忠)   

摘要：经济发展、生活模式和疾病往往是从一个地区向另一个地区进行传播蔓延。受到文化、社会以及地理地质等因素的影响，其传播所需时间往往不是与地区间的实际物理距离成正比，而有其固有的实际距离。本报告将根据定量数据和事件点数据建立模型并对这种实际距离和传播速度进行估计，并以此建立新事件的预报和预警方法。  

2.Estimation of Extreme Quantiles for Functions of Dependent Random Variables(Qiwei Yao)   

Abstract：Motivated by a concrete risk management problem in financial industry, we propose a new method for estimating the extreme quantiles for a function of several dependent random variables. In contrast to the conventional approach based on extreme value theory, we do not impose the condition that the tail of the underlying distribution admits an approximate parametric form, and, furthermore, our estimation makes use of the full observed data. The proposed method is semiparametric as no parametric forms are assumed on all the marginal distributions. But we select appropriate bivariate copulas to model the joint dependence structure by taking the advantage of the recent development in constructing large dimensional vine copulas. Consequently a sample quantile resulted from a large bootstrap sample drawn from the fitted joint distribution is taken as the estimates for the extreme quantile. This estimator is proved to be consistent as long as the quantile to be estimated is not too extreme. The reliable and robust performance of the proposed method is further illustrated by simulation.   

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