Feng Li, Ph.D.

Assistant Professor, Associate Dean 
School of Statistics and Mathematics 
Central University of Finance and Economics 
102206 Beijing, China

Email: feng.li@cufe.edu.cn 
Phone: +86-(0)10-6177-6189

Education 🎓

• Ph.D., 2013, Statistics, Stockholm University, Sweden.
  • Thesis: Bayesian Modeling of Conditional Densities
  • Supervisor: Prof. Mattias Villani
  • Thesis opponent : Prof. Sylvia Frühwirth-Schnatter
• M.S., 2008,  Statistics, Dalarna University, Sweden.
• B.S., 2007, Statistics, Renmin University of China.

Curriculum Vitae

• English version CV (PDF)
• Chinese version CV (PDF)

Research interests👨‍🔬

• Bayesian statistics
• Econometrics and forecasting
• Multivariate statistics
• Complex models and big data

Working Papers⏳

1. Déjà vu: forecasting with similarity (with Yanfei Kang, Evangelos Spiliotis, Fotios Petropoulos, Nikolaos Athiniotis, and Vassilios Assimakopoulos)
   • [Working Paper | Oneline App]
2. Least squares approximation for a distributed system (with Xuening Zhu and Hansheng Wang)
   • [Working Paper | Spark Implementation]
3. FFORMPP: Feature-based forecast model performance prediction (with Thiyanga S. Talagala and Yanfei Kang)
   • [Working Paper | R package]
4. Que será será? The uncertainty estimation of feature-based time series forecasts (with Xiaoqian Wang, Yanfei Kang and Fotios Petropoulos)
   • [Working Paper | Que será será]
5. Forecasting with time series imaging (with Xixi Li and Yanfei Kang)
   • [Working Paper ]
6. GRATIS: GeneRAting TIme Series with diverse and controllable characteristics (with Yanfei Kang and Rob J. Hyndman)
   • [ Working Paper | R Package | Web App]

Research Grants

• Efficient Bayesian Flexible Density Methods with High Dimensional Financial Data funded by National Natural Science Foundation of China, (2016-). Principal investigator.
• Bayesian Multivariate Density Estimation Methods for Complex Data funded by Ministry of Education, China (2014-). Principal investigator

Selected Publications 🖺

1. Bailey HM, Zuo Y, Li F, et al. (2019) Changes in patterns of mortality rates and years of life lost due to firearms in the United States, 1999 to 2016: A joinpoint analysis. PLOS ONE 14(11): e0225223.
   • [Journal version]
2. Li, F., and He, Z. (2019) Credit Risk Clustering in a Business Group: Which Matters More, Systematic or Idiosyncratic Risk? Cogent Economics and Finance, 7(1632528).
   • [Journal version | Working Paper | Appendix ]
3. Li, F., and Kang, Y.(2018). Improving forecasting performance using covariate-dependent copula models, International Journal of Forecasting, 34(3), pp. 456-476.
   • [Journal’s version | Working Paper | Paper on arXiv]
4. Li, F., Kalesan, B., Zuo, Y.  et. al (2018) Cohort Profile: The MULTI sTUdy Diabetes rEsearch (MULTITUDE) Consortium, BMJ Open, 8(5): e020640.
   • [Journal’s version]
5. Li, F. (2016). Distributed Statistical Computing for Big Data and Case Studies, ISBN：9787300230276
   • [Available on JD.com and Amazon.cn]
6. Li, F. (2013). Bayesian Modeling of Conditional Densities. Ph.D. thesis, Department of Statistics, Stockholm University. ISBN: 978-91-7447-665-1
   • [Link to DiVA | Fulltext]
7. Li, F., and Villani, M. (2013). Efficient Bayesian Multivariate Surface Regression, Scandinavian Journal of Statistics, 40(4), pp. 706-723
   • [Journal’s version | Working Paper | R package | Talk | Poster]
8. Li, F., Villani, M. and Kohn, R. (2011). Modeling Conditional Densities using Finite Smooth Mixtures, Book chapter in Mixture Estimation and Applications (Mengersen, K.L., Robert, C. P. and Titterington, D.M. eds), Wiley.
   • [Publisher’s version | Working Paper]
9. Li, F., Villani, M. and Kohn, R. (2010). Flexible Modeling of Conditional Distributions using Smooth Mixtures of Asymmetric Student T Densities, Journal of Statistical Planning and Inference, 140(12), pp. 3638-3654
   • [Journal’s version | Working Paper | Talk | Poster]

Awards 🌟

• The 2014 Cramér Prize, Mar 2014.
• International Society for Bayesian Analysis junior travel award, Jun, 2012.
• Travel grant from The Swedish Knut and Alice Wallenberg Foundation, Aug, 2011.
• Outstanding graduate student, honored by Beijing Municipal Education Commission, Jul, 2007, China.