報(bào)告題目：Statistical Learning of the Worst Regional Smog Extremes with Dynamic Conditional Modeling
主講人：張正軍教授（美國威斯康辛大學(xué)）
時(shí)間：2019年12月27日（周五）14:00 p.m.
地點(diǎn)：北院卓遠(yuǎn)樓305會(huì)議室
主辦單位：統(tǒng)計(jì)與數(shù)學(xué)學(xué)院
摘要：This talk is concerned with the statistical learning of extreme smog (PM2.5) dynamics of a vast region in China. Using classical extreme value theory, one can fit the generalized extreme value distribution to extreme observations recorded from each of those hundreds of smog monitoring stations. The proposed work intends to integrate classical extreme value modeling and dynamic modeling into a dynamic conditional distribution modeling and analysis of regional smog extremes, in particular, worst scenarios observed at one or multiple locations in each day. In addition, weather factors will be introduced in the model to gain higher modeling efficiency. The proposed model and the enhanced model will be illustrated with real data of hourly PM2.5 observations between 2014-2016 from smog monitoring stations located in the Beijing-Tianjin-Hebei geographical region. The results show a significant improvement compared with using a static extreme value analysis alone. The findings enhance the understanding of how severe extreme smog scenarios can be and provide useful information for the central/local government to conduct coordinated PM2.5 control and treatment. For completeness, probabilistic properties of the proposed model are investigated. Statistical estimation based on conditional maximum likelihood principle is established. To demonstrate the estimation and inference efficiency of studies, extensive simulations are also implemented. Based on a joint work with Mengxin Yu and Lu Deng.
主講人簡介：
張正軍教授，現(xiàn)為美國威斯康辛大學(xué)統(tǒng)計(jì)系長聘正教授、美國統(tǒng)計(jì)協(xié)會(huì)會(huì)士、國際數(shù)理統(tǒng)計(jì)協(xié)會(huì)財(cái)務(wù)總監(jiān)、國際頂級(jí)期刊“商業(yè)和經(jīng)濟(jì)統(tǒng)計(jì)”副主編、“計(jì)量經(jīng)濟(jì)學(xué)期刊”金融工程與風(fēng)險(xiǎn)管理特刊共同主編、“泛華統(tǒng)計(jì)學(xué)報(bào)Statistica Sinica”副主編。張正軍教授2002年畢業(yè)于北卡羅來納大學(xué)教堂山分校，獲統(tǒng)計(jì)學(xué)博士學(xué)位。主要研究方向包括：金融時(shí)間序列分析、極值理論、異常氣候分析、稀有疾病（癌癥、帕金森綜合癥、奧茲海默病等等）分析、金融風(fēng)險(xiǎn)的建模和評(píng)估、市場(chǎng)系統(tǒng)性風(fēng)險(xiǎn)評(píng)估等等。
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