Assistant Professor, Associate Dean School of Statistics and Mathematics Central University of Finance and Economics 100081 Beijing, China
Email: feng.li@cufe.edu.cn Phone: +86-(0)10-6228-8548 (Haidian Campus) +86-(0)10-6177-6189 (Shahe Campus)
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.
Research interests
- Bayesian statistics
- Econometrics and forecasting
- Multivariate statistics
- Complex models and big data
Recent work
Credit Risk Clustering with Covariate-dependent Copula Models (with Zhuojing He)
Modeling covariate-contingent correlation and tail-dependence with copulas (Paper on arXiv)
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
Publications
- Li, F., and Kang, Y.(2018). Improving forecasting performance using covariate-dependent copula models, International Journal of Forecasting, In Press.
[Journal’s version | Working Paper] - Li, F., Kalesan, B., Zuo, Y. et. al (2018) Cohort Profile: The MULTI sTUdy Diabetes rEsearch (MULTITUDE) Consortium, BMJ Open, In Press.
[Journal’s version] - Li, F. (2016). Distributed Statistical Computing for Big Data and Case Studies, ISBN：9787300230276
[Available on JD.com and Amazon.cn] - 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] - Li, F, and Villani, M. (2013). Efficient Bayesian Multivariate Surface Regression, Scandinavian Journal of Statistics, 40(4), pp. 706-723.
[Journal’s version | Paper on arXiv | Talk | Poster] - 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] - 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.