Dr Feng Chen, School of Mathematics and Statistics, UNSW Sydney, Australia

Point processes, recurrent event data analysis, nonparametric methods, asymptotic inference, statistical computing, applied statistics

Publications

Xuan H; Maestrini L; Chen F; Grazian C, 2024, 'Stochastic Variational Inference for GARCH Models' , Statistics and Computing, vol. 34, p.45. (preprint)
Stindl T; Chen F, 2023, 'EM algorithm for the estimation of the RETAS model', Journal of Computational and Graphical Statistics, vol. 33, no. 2, pp. 341-351. (preprint)
Stindl T; Chen F, 2023, 'Stochastic declustering of earthquakes with the spatiotemporal renewal ETAS model', Annals of Applied Statistics, vol. 17, no. 4, pp. 3173-3194. (preprint)
Kwan J; Chen F; Dunsmuir W, 2023, 'Alternative asymptotic inference theory for a non-stationary Hawkes process', Journal of Statistical Planning and Inference, vol. 227, pp. 75-90. (preprint)
Wee D; Chen F; Dunsmuir W, 2023, 'Estimating GARCH(1,1) in the presence of missing data', Annals of Applied Statistics, vol. 17, no. 3, pp. 2596-2618. (preprint)
Chen Y-Y; Chen F; Wu KC-C; Lu T-H; Chi Y-C; Yip PSF, 2023, 'Dynamic reciprocal relationships between traditional media reports, social media postings, and youth suicide in Taiwan between 2012 and 2021' , SSM - Population Health, vol. 24, p. 101543.
Stindl T; Chen F, 2022, 'Spatiotemporal ETAS model with a renewal main-shock arrival process', Journal of the Royal Statistical Society: Series C (Applied Statistics), vol. 71, pp. 1356-1380. (preprint)
Wee D; Chen F; Dunsmuir W, 2022, 'Likelihood inference for Markov switching GARCH(1,1) models using sequential Monte Carlo', Econometrics and Statistics, vol. 21, pp. 50-68. (preprint)
Stindl T; Chen F, 2021, 'Accelerating the estimation of renewal Hawkes self-exciting point processes', Statistics and Computing vol. 31, p.26. (preprint)
Tan WH; Chen F, 2021, 'Predicting the Popularity of Tweets Using Internal and External Knowledge: An Empirical Bayes Type Approach', AStA Advances in Statistical Analysis, vol. 105, 335-352. (preprint)
Stindl T; Chen F, 2019, 'Modeling extreme negative returns using marked renewal Hawkes processes', Extremes, vol. 22, 705-728. (preprint)
Wee D; Chen F; Dunsmuir W, 2019, 'Likelihood inference for a COGARCH process using sequential Monte Carlo', Journal of Financial Econometrics, vol. 17, pp. 229 - 253.
Chen F; Stindl T, 2018, 'Direct Likelihood Evaluation for the Renewal Hawkes Process', Journal of Computational and Graphical Statistics, vol. 27, pp. 119 - 131.
Chen F; Tan WH, 2018, 'Marked self-exciting point process modelling of information diffusion on twitter', Annals of Applied Statistics, vol. 12, pp. 2175 - 2196.
Stindl T; Chen F, 2018, 'Likelihood based inference for the multivariate renewal Hawkes process', Computational Statistics and Data Analysis, vol. 123, pp. 131 - 145.
Cheng Q; Chen F; Lee ES T; Yip PS F, 2017, 'The role of media in preventing student suicides: A Hong Kong experience', Journal of Affective Disorders, vol. 227, pp. 643 - 648.
Xu J; Lam KF; Chen F; Milligan P; Cheung YB, 2017, 'Semiparametric estimation of time-varying intervention effects using recurrent event data', Statistics in Medicine, vol. 36, pp. 2682 - 2696.
Cheng Q; Chen F; Yip PS F, 2017, 'Media effects on suicide methods: A case study on Hong Kong 1998-2005', PLoS ONE, vol. 12, p. e0175580.
Yip PS F; Cheng Q; Chang SS; Lee ES T; Lai CS C; Chen F; Law YW F; Cheng TM E; Chiu SM; Tse TL J; Cheung KW R; Tse ML; Morgan PR; Beh P, 2017, 'A public health approach in responding to the spread of helium suicide in Hong Kong: A case report', Crisis, vol. 38, pp. 269 - 277.
Chen F; Hall P, 2016, 'Nonparametric Estimation for Self-Exciting Point Processes - A Parsimonious Approach', Journal of Computational and Graphical Statistics, vol. 25, pp. 209 - 224.
Bai F; Chen F; Chen K, 2015, 'Semiparametric estimation of a self-exciting regression model with an application in recurrent event data analysis', Statistica Sinica, vol. 25, pp. 1503 - 1526.
Chen F; Yip PSF, 2015, 'The influence of cold weather on the usage of emergency link calls: A case study in Hong Kong', BMC Medical Informatics and Decision Making, vol. 15, p. 66.
Chen YY; Chen F; Chang SS; Wong J; Yip PS F, 2015, 'Assessing the efficacy of Restricting access to barbecue charcoal for suicide prevention in Taiwan: A community-based intervention trial', PLoS ONE, vol. 10, p. e0133809.
Zhu J; Chen F, 2015, 'Dividend optimization under reserve constraints for the Cramer-Lundberg model compounded by force of interest', Economic Modelling, vol. 46, pp. 142 - 156.
Chen F; Chen K, 2014, 'Modeling event clustering using the m-Memory Cox-type self-exciting intensity model', International Journal of Statistics and Probability, vol. 3, pp. 126 - 137.
Yip PS F; Chen F, 2014, 'A study on the effect of exclusion period on the suicidal risk among the insured', Social Science and Medicine, vol. 110, pp. 26 - 30.
Chen F; Chen K, 2014, 'Case-cohort analysis of clusters of recurrent events', Lifetime Data Analysis, vol. 20, pp. 1 - 15.
Chen F; Hall P, 2013, 'Inference for a non-stationary self-exciting point process with an application in ultra-high frequency financial data modeling', Journal of Applied Probability, vol. 50, pp. 1006 - 1024.
Zhu J; Chen F, 2013, 'Dividend optimization for regime-switching general diffusions', Insurance: Mathematics and Economics, vol. 53, pp. 439 - 456.
Chen YY; Chen F; Gunnell D; Yip PS F, 2013, 'The Impact of Media Reporting on the Emergence of Charcoal Burning Suicide in Taiwan', PLoS ONE, vol. 8, p. e55000.
Yip PS F; Kwok SS M; Chen F; Xu X; Chen YY, 2013, 'A study on the mutual causation of suicide reporting and suicide incidences', Journal of Affective Disorders, vol. 148, pp. 98 - 103.
Chen F, 2011, 'Maximum local partial likelihood estimators for the counting process intensity function and its derivatives', Statistica Sinica, vol. 21, pp. 107 - 128.
Chen YY; Chen F; Yip PS F, 2011, 'The impact of media reporting of suicide on actual suicides in Taiwan, 2002-05', Journal of Epidemiology and Community Health, vol. 65, pp. 934 - 940.
Cheng Q; Chen F; Yip PS F, 2011, 'The foxconn suicides and their media prominence: Is the werther effect applicable in china?', BMC Public Health, vol. 11, p. 841.
Chen F; Yip PS F; Lam KF, 2011, 'On the local polynomial estimators of the counting process intensity function and its derivatives', Scandinavian Journal of Statistics, vol. 38, pp. 631 - 649.
Yip PS F; Watson R; Chan KS; Lau EH Y; Chen F; Xu Y; Xi L; Cheung DY T; Ip BY T; Liu D, 2010, 'Estimation of the number of people in a demonstration', Australian and New Zealand Journal of Statistics, vol. 52, pp. 17 - 26.
Lin H; Yip PS F; Chen F, 2009, 'Estimating the population size for a multiple list problem with an open population', Statistica Sinica, vol. 19, pp. 177 - 196
Chen F; Huggins RM; Yip PS F; Lam KF, 2008, 'Local polynomial estimation of Poisson intensities in the presence of reporting delays', Journal of the Royal Statistical Society: Series C (Applied Statistics), vol. 57, pp. 447 - 459.
Chen F; Huggins RM; Yip PS F; Lam KF, 2008, 'Nonparametric estimation of multiplicative counting process intensity functions with an application to the Beijing SARS epidemic', Communications in Statistics - Theory and Methods, vol. 37, pp. 294 - 306.
Chen F; Zhu J; Li Z, 2008, 'Upper bounds for the ruin probabilities of the entrance-based risk model', Communications in Statistics - Theory and Methods, vol. 37, pp. 2634 - 2652.
Chen F, 2007, 'Local polynomial estimation of counting process intensities', Bulletin of the International Statistical Institute, vol. LXII, pp. 3192-3197.
Li Z; Zhu J; Chen F, 2005, 'Study of a risk model based on the entrance process', Statistics and Probability Letters, vol. 72, pp. 1 - 10.

Software

Research grants

Talks

September 2023, Lanzhou University. "Estimating Hawkes processes from discretely observed sample paths".
August 2023, Tokyo Japan, EcoSta 2023. "Estimating Hawkes processes from observations of a sample path at discrete times points".
December 2022, London UK, CMStatistics 2022, "Inference for Markov switching GARCH(1,1) models using sequential Monte Carlo".
May 2022, APSPS (Asia-Pacific Seminar in Probability and Mathematical Statistics), "The Hawkes process and some of its recent extensions".
Mar 2022, University of Sydney. "Renewal Hawkes processes".
Jan 2020, Nanjing Audit University. "Likelihood inference for a continuous time GARCH model".
Dec 2019, Hefei University of Technology. "Direct Likelihood Evaluation for the Renewal Hawkes Process".
July 2019, ETH Zurich. "Direct Likelihood Evaluation for the Renewal Hawkes Process".
June 2019, Taiwan, the 3rd International Conference on Economics and Statistics (EcoSta 2019). "Predicting the popularity of tweets using internal and external knowledge: An empirical Bayes approach".
June 2019, Taiwan, the 3rd International Conference on Economics and Statistics (EcoSta 2019). "Modeling extreme negative returns using marked renewal Hawkes processes".
May 2019, Institute of Statistical Mathematics, Japan. "Direct Likelihood Evaluation for the Renewal Hawkes Process".
January 2019, Nanjing Audit University. "Direct Likelihood Evaluation for the Renewal Hawkes Process".
November 2018, Sydney, Sydney Business School Time Series and Fore- casting Symposium (TSF2018). "Direct Likelihood Evaluation for the Renewal Hawkes Process".
June 2018, Hong Kong, The 2nd International Conference on Econometrics and Statistics (EcoSta 2018). "Likelihood inference for a continuous time GARCH model".
June 2018, St. Louis, USA, The Fourth International Workshop on the Statistical Analyses of Multi-outcome Data (SAM 2018). "Estimation of time-varying intervention effects using recurrent event data with application".
August 2017, Macquarie University. "Direct Likelihood Evaluation for the Renewal Hawkes Process".
June 2017, Hong Kong, The 1st International Conference on Econometrics and Statistics (EcoSta 2017). "Estimation of time-varying intervention effects using recurrent event data with application".
May 2017, Hong Kong, The Third International Conference on Engineering and Computational Mathematics (ECM2017). "Likelihood Inference for a Continuous Time GARCH Model".
January 2017, University of Tokyo. "Likelihood inference for a continuous time GARCH model".
January 2017, University of Tokyo. "Nonparametric Estimation for Self-Exciting Point Processes: A Parsimonious Approach".
December 2016, Shanghai, China, The 10th ICSA International Conference. "Semiparametric Estimation of Time-Varying Intervention Effects Using Recurrent Event Data ".
February 2016, Hong Kong University of Science and Techonology. "Likelihood inference for a continuous time GARCH model".
May 2015, The University of Melbourne. "Nonparametric Estimation for Self-Exciting Point Processes: A Parsimonious Approach".
February 2015, The University of Macau. "Nonparametric Estimation for Self-Exciting Point Processes: A Parsimonious Approach".
August 2014, Boston, USA, Joint Statistical Meetings. "Semiparametric Estimation for Self-Exciting Point Processes - A Parsimonious Approach".
August 2013, Montreal Canada, Joint Statistical Meetings. "Inference for Nonstationary Self-Exciting Point Processes".
February 2013, Melbourne Australia, Young Statisticians Conference. "Recurrent event data analysis using self-exciting processes".
July 2012, Adelaide Australian, Australian Statistical Conference. "Inference for a nonstationary self-exciting point process with an application in ultra-high frequency financial data modelling".
November 2010, National Tsing Hua University. "Maximum local partial likelihood estimators for the counting process intensity function and its derivatives".
July 2009, Chengdu China, International Conference on Financial Statistics and Financial Economics. "Maximum local partial likelihood estimators for the counting process intensity function and its derivatives".
April 2009, Curtin University of Technology. "An Autoregressive Generalized Additive Model for Correlated Count Data".
February 2008, University of Liverpool. "Local polynomial estimation of the counting process intensity function and its derivatives"
August 2007, Lisbon Portugal, 56th Session of the ISI. "Local Polynomial Estimation of Counting Process Intensities"
November 2006, Jinan China, Shandong and Hong Kong PhD student Forum in Environmetrics and Mathematics. "Nonparametric Estimation of Multiplicative Counting Process Intensity Functions with an Application to the Beijing SARS Epidemic"

Research Supervision

Christopher Riley (2024): Stock volatility modelling and its applications in option pricing
Xu Miao (2024): Inference for the COGARCH model
Jason Zhang (2023): Inference for the Markov-Switching GARCH model
Jason Lambe (2022): Asymptotic properties of the maximum likelihood estimator for the renewal Hawkes process.
Thomas Lee (2021, joint with Tom Stindl): Ergodicity of Hawkes processes
Vincento Minutolo (2020, joint with Jakub Stoklosa): Population size estimation with capture-recapture data
Hanwen Xuan (2020): Dynamic modelling of price movements and trade durations at transaction level
Allann Sze (2019): Self-exciting point process modelling of contagion in firm defaults
Ronald Tran (2018 S2 - 2019 T2): Point process models for earthquake occurrences
Jeffrey Kwan (2017): Renewal Hawkes process and its asymptotic properties
Andrew Li (2017): EM algorithms for multivariate Hawkes processes
Joseph Hidajat (2017): Assessing the influence of the change in credit underwriting standard on the personal loan default rate
Tony Vo (2014, joint with Peter Straka): Identifying the characteristics of neighbourhoods with differing default or churn rates on residential mortgages using Australian census data
Pengxi Maggie Chen (2011 S2 - 2012 S1, joint with William T. Dunsmuir): Diagnostic Tools for Predictive Count Models
Eric Lu (2011): Conditional Intensity Models for the Occurrence of Earthquakes
Alison Vo-Phuoc (2010): Modelling ASX transaction Data using Conditional Intensity Models
Gary Ngo (2010): Filtering applications in Stochastic Finance: Approximative simulation based methods

Yuan Ju (2024): Fractional Hawkes process
Jacky Han (2023 T3 -): Energy demand modelling and prediction
Tiange Wang (2023 T3 - 2024 T1): Assessing the Impact of COVID-19 on North American Mortality Trends Over Time and Speculating on Subsequent Effects on Post-Pandemic Mortality
Vishaal Nathan (2022 T2-T3): Limit theorems for renewal processes
Lexie Li (2022 T2 - T3): Text Analysis Based On Depression-related Weibo Posts
Qi Dai (2022 T1 - T2): Modelling the Number of Wildfires in New South Wales
Ruizi Hu (2022 T1 - T2): Variance Estimation for SMC Maximum Likelihood Estimators of the COGARCH Model
Yanke Wang (2022 T1 - T2): Stochastic volatility models for stock returns
Yicheng Zhou (2022 T1 - T2): How treasury bond yield affects stock index return during Pandemic.
Shishuai Sun (2021 T3 - 2022 T1): Optimal portfolio construction using Single-Index model
Kexin Liu (2021 T3 - 2022 T1): Bushfire modelling and prediction
Luguang Zhang (2021 T2 - T3): Diversifying equity in cryptocurrencies market during COVID-19
Hanyu Jiang (2021 T2 - T3): Shrinkage methods for covariance matrix estimation
Nilton Vincente (2021): Cost-variance optimization in household surveys
Zhiqi Shao (2021): Social media and stock returns
Xiaoyu Feng (2019 T3-2020 T2): Bivariate B-Splines and their application
Guanyu Lu (2019 T3-2020 T2): Sequential quasi Monte Carlo and its application
Jingyi Ni (2019 T3-2020 T2): Monte Carlo approximation of the score function and Hessian matrix and its use in likelihood optimisation
Bojie Jiang (2018): Spatial-Temporal Point Process for Evaluating Wildfires in California
Yuwen Liu (2018): Self-Exciting Spatial-Temporal Modeling of Crimes
Wenxi Shi (2018): Support Vector Machine and its application in stock portfolio construction
Xu Allan Han (2016): Estimation of the vaccine effect in the presence of immunity acquired from past disease episodes
Zhoushu Huang (2013): A location transformed method on the space-time ETAS model
Ryan Findlayson (2011): On the Consistency of the Maximum Likelihood Estimator for a Self Exciting Intensity Function
Zhuo Jia Dai (2010): About Time - Building Credit Scorecards with Survival analysis
Huijuan Carol Gao (2010): Review on Autoregressive Conditional Duration Models with application to Australian Stocks

Dr Feng Chen

Education

Research interests

Publications

Software

Research grants

Talks

Research Supervision

Teaching

Service positions and professional affiliations