Phyllis Wan

Welcome!

I am an Assistant Professor in Statistics at the Erasmus School of Economics, Erasmus University Rotterdam.

My research interest lies in the study of complex data structures, such as networks and time series. I am especially interested in scenarios where heavy-tailed observations are present and where novel statistical tools are called for!

I received my PhD from the Department of Statistics at Columbia University, under the supervision of Prof. Richard Davis.

Contact

Erasmus School of Economics, E T-45

Erasmus University Rotterdam

P.O. Box 1738

3000DR Rotterdam, the Netherlands

wan at ese.eur.nl

Papers

  • Parametric and non-parametric estimation of extreme earthquake events: the joint tail inference for mainshocks and aftershocks (2020+), with Cai, J.-J. and Ozel, G., in Extremes. [link, arXiv, codes]

  • Goodness-of-fit testing for time series models via distance covariance (2020+), with Davis, R.A., in Journal of Econometrics. [link, arXiv]

  • K-means clustering of extremes (2020), with Janßen, A., in Electronic Journal of Statistics [link, arXiv]

  • Forecasting the urban skyline with extreme value analysis (2020), with Auerbach, J.L., in International Journal of Forecasting. [link, arXiv]

  • Are extreme value estimation methods useful for network data? (2020), with Wang, T., Davis, R.A. and Resnick, S.I., in Extremes. [link, arXiv]

  • Threshold selection for multivariate heavy-tailed data (2019), with Davis, R.A., in Extremes. [link, arXiv]

  • Applications of distance covariance to time series (2018), with Davis, R.A., Matsui, M. and Mikosch, T., in Bernoulli. [link, arXiv]

  • Fitting the linear preferential attachment model (2017), with Wang, T., Davis, R.A. and Resnick, S.I., in Electronic Journal of Statistics. [link, arXiv]

  • Nonstandard regular variation of in-degree and out-degree in the preferential attachment model (2016), with Samorodnitsky, G., Resnick, S.I., Towsley, D., Davis, R.A. and Willis, A., in Journal of Applied Probability. [link, arXiv]

Google Scholar profile

List of presentations

Teaching

  • @Erasmus

    • FEM21039: Topics in Advanced Statistics

    • FEB12005: Toegepaste Statistiek 2

    • FEB12005X: Applied Statistics 2

    • FEB23015: Seminar in Business Analytics and Quantitative Marketing

  • @Columbia

    • STAT 1111: Introduction to Statistics

    • Review for Theoretical Statistics PhD Qualification Exam