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Dr Feng Chen
Senior Lecturer

Dr Feng Chen

Science
School of Mathematics & Statistics

ABOUT ME

 

Biography

I am a Senior Lecturer in Statistics at the School of Mathematics and Statistics. My research interest is in the broad area of developing statistical methods to model real-life phenomena and make inferences. I have taught courses on statistics, probability and stochastic processes from the introductory level to the postgraduate level, as well as applied statistics courses.  

Education

  • PhD in Statistics, the University of Hong Kong, 2008
  • MSc in Applied Probability & Statistics, Lanzhou University, 2004
  • BSc in Mathematics, Lanzhou University, 2001

RESEARCH

 

Research interests

  • Nonparametric and semiparametric statistics
  • Point processes and their statistical inference
  • Statistical computing
  • Financial Data Modelling

 

TEACHING & OUTREACH

 

Courses taught

  • MATH2099 - Mathematics 2B -- Statistics Stream
  • MATH2859 - Probability, Statistics and Information
  • MATH3821 - Statistical Modelling and Computing
  • MATH3831 - Statistical Methods for Social and Market Research (current)
  • MATH3851 - Experimental Design and Categorical Data 
  • MATH5835 - Advanced Stochastic Processes (current)

Professional affiliations and service positions

  • Associated Editor for Journal of Statistical Planning and Inference (2019 --)
  • Statistics Honours Coordinator, School of Mathematics and Statistics, UNSW (2013-2018)
  • Member, Statistical Society of Australia
  • Member, American Statistical Association
  • Councilor, Statistical Society of Australia NSW Branch (2012-2013)
  • Assistant Secretary & Coordinator of SSAI AGR seminars, Statistical Society of Australia NSW Branch (2013)
Phone
+61-2-9385 7026
E-mail
feng.chen@unsw.edu.au
Location
School of Mathematics and Statistics University of New South Wales Sydney NSW 2052 The Red Centre Room 1031
  • Journal articles | 2023
    Wee D; Chen F; Dunsmuir W, 2023, 'ESTIMATING GARCH(1,1) IN THE PRESENCE OF MISSING DATA', Annals of Applied Statistics
    Journal articles | 2022
    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, http://dx.doi.org/10.1111/rssc.12579
    Journal articles | 2022
    Wee DCH; Chen F; Dunsmuir WTM, 2022, 'Likelihood inference for Markov switching GARCH(1,1) models using sequential Monte Carlo', Econometrics and Statistics, vol. 21, pp. 50 - 68, http://dx.doi.org/10.1016/j.ecosta.2020.03.004
    Journal articles | 2021
    Stindl T; Chen F, 2021, 'Accelerating the estimation of renewal Hawkes self-exciting point processes', Statistics and Computing, https://web.maths.unsw.edu.au/~fengchen/pubs/StindlChen2021-FastRH.pdf
    Journal articles | 2021
    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, https://link.springer.com/article/10.1007/s10182-021-00390-z
    Journal articles | 2019
    Stindl T; Chen F, 2019, 'Modeling extreme negative returns using marked renewal Hawkes processes', Extremes, vol. 22, pp. 705 - 728, http://dx.doi.org/10.1007/s10687-019-00352-4
    Journal articles | 2019
    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, http://dx.doi.org/10.1093/jjfinec/nby012
    Journal articles | 2018
    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, http://dx.doi.org/10.1214/18-AOAS1148
    Journal articles | 2018
    Cheng Q; Chen F; Lee EST; Yip PSF, 2018, 'The role of media in preventing student suicides: A Hong Kong experience', Journal of Affective Disorders, vol. 227, pp. 643 - 648, http://dx.doi.org/10.1016/j.jad.2017.11.007
    Journal articles | 2018
    stindl ; Chen F, 2018, 'Likelihood Based Inference for the Multivariate Renewal Hawkes Process', Computational Statistics and Data Analysis, vol. 123, pp. 131 - 145, http://dx.doi.org/10.1016/j.csda.2018.01.021
    Journal articles | 2017
    Chen F; Stindl T, 2017, 'Direct Likelihood Evaluation for the Renewal Hawkes Process', Journal of Computational and Graphical Statistics, vol. 27, pp. 119 - 131, http://dx.doi.org/10.1080/10618600.2017.1341324
    Journal articles | 2017
    Cheng Q; Chen F; Yip PSF, 2017, 'Media effects on suicide methods: A case study on Hong Kong 1998-2005', PLoS ONE, vol. 12, http://dx.doi.org/10.1371/journal.pone.0175580
    Journal articles | 2017
    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, http://dx.doi.org/10.1002/sim.7319
    Journal articles | 2017
    Yip PSF; Cheng Q; Chang SS; Lee EST; Lai CSC; Chen F; Law YWF; Cheng TME; Chiu SM; Tse TLJ; Cheung KWR; 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, http://dx.doi.org/10.1027/0227-5910/a000449
    Journal articles | 2016
    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, http://dx.doi.org/10.1080/10618600.2014.1001491
    Journal articles | 2015
    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, http://dx.doi.org/10.5705/ss.2013.217
    Journal articles | 2015
    Chen F; Yip PS, 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, http://dx.doi.org/10.1186/s12911-015-0191-1
    Journal articles | 2015
    Chen YY; Chen F; Chang SS; Wong J; Yip PSF, 2015, 'Assessing the efficacy of Restricting access to barbecue charcoal for suicide prevention in Taiwan: A community-based intervention trial', PLoS ONE, vol. 10, http://dx.doi.org/10.1371/journal.pone.0133809
    Journal articles | 2015
    Zhu J; Chen F, 2015, 'Dividend optimization under reserve constraints for the Cramér-Lundberg model compounded by force of interest', Economic Modelling, vol. 46, pp. 142 - 156, http://dx.doi.org/10.1016/j.econmod.2014.11.019
    Journal articles | 2014
    Chen F; Chen K, 2014, 'Case-cohort analysis of clusters of recurrent events', Lifetime Data Analysis, vol. 20, pp. 1 - 15, http://dx.doi.org/10.1007/s10985-013-9275-3
    Journal articles | 2014
    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, http://dx.doi.org/10.5539/ijsp.v3n3p126
    Journal articles | 2014
    Yip P; Chen F, 2014, 'A study on the effect of exclusion period on the suicidal risk among the insured', Social Science & Medicine, vol. 110, pp. 26 - 30, http://dx.doi.org/10.1016/j.socscimed.2014.03.023
    Journal articles | 2013
    Chen F; Chen K, 2013, 'Case-cohort analysis of clusters of recurrent events', Lifetime Data Analysis, pp. 1 - 15, http://dx.doi.org/10.1007/s10985-013-9275-3
    Journal articles | 2013
    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, http://dx.doi.org/10.1239/jap/1389370096
    Journal articles | 2013
    Chen Y; Chen F; Gunnell D; Yip PSF, 2013, 'The impact of media reporting on the emergence of charcoal burning suicide in Taiwan', PLoS One, vol. 8, pp. e55000, http://dx.doi.org/10.1371/journal.pone.0055000
    Journal articles | 2013
    Yip PSF; Kwok S; Chen F; Xu X; Chen Y, 2013, 'A study on the mutual causation of suicide reporting and suicide incidences', Journal of Affective Disorders, vol. 148, pp. 98 - 103, http://dx.doi.org/10.1016/j.jad.2012.11.056
    Journal articles | 2013
    Zhu J; Chen F, 2013, 'Dividend optimization for regime-switching general diffusions', Insurance Mathematics and Economics, vol. 53, pp. 439 - 456, http://dx.doi.org/10.1016/j.insmatheco.2013.07.006
    Journal articles | 2011
    Chen F, 2011, 'Maximum local partial likelihood estimators for the counting process intensity function and its derivatives', Statistica Sinica, vol. 21, pp. 107 - 128, http://www3.stat.sinica.edu.tw/statistica/j21n1/J21N14/J21N14.html
    Journal articles | 2011
    Chen F; Yip PS; 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, http://dx.doi.org/10.1111/j.1467-9469.2011.00733.x
    Journal articles | 2011
    Chen Y; Chen F; Yip PS, 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, http://dx.doi.org/10.1136/jech.2010.117903
    Journal articles | 2011
    Cheng Q; Chen F; Yip PS, 2011, 'The Foxconn suicides and their media prominence: is the Werther Effect applicable in China?', BMC Public Health, vol. 11, pp. 11pp, http://dx.doi.org/10.1186/1471-2458-11-841
    Journal articles | 2010
    Yip PSF; Watson R; Chan KS; Lau EHY; Chen F; Xu Y; Xi L; Cheung DYT; Ip BYT; Liu D, 2010, 'Estimation of the number of people in a demonstration', Australian and New Zealand Journal of Statistics, vol. 52, pp. 17 - 26, http://dx.doi.org/10.1111/j.1467-842x.2009.00562.x
    Journal articles | 2009
    Lin H; Yip PS; Chen F, 2009, 'Estimating the population size for a multiple list problem with an open population', Statistica Sinica, vol. 19, pp. 177 - 196, http://www3.stat.sinica.edu.tw/sstest/oldpdf/A19n19.pdf
    Journal articles | 2008
    Chen F; Huggins RM; Yip PS; 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, http://dx.doi.org/10.1080/03610920701649035
    Journal articles | 2008
    Chen F; Huggins RM; Yip PSF; Lam E, 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, http://dx.doi.org/10.1111/j.1467-9876.2008.00624.x
    Journal articles | 2008
    Feng C; 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, http://dx.doi.org/10.1080/03610920801942447
    Journal articles | 2005
    Li Z; Zhu J; Feng C, 2005, 'Study of a risk model based on the entrance process', Statistics and Probability Letters, vol. 72, pp. 1 - 10, http://dx.doi.org/10.1016/j.spl.2004.10.028
  • Conference Papers | 2021
    McGrory L; Lu M; Wu W; Chen F; Zekry A, 2021, 'Role of metabolic syndrome in persistently elevated alanine aminotransferase levels in patients with suppressed hepatitis B infection', in JOURNAL OF GASTROENTEROLOGY AND HEPATOLOGY, WILEY, pp. 60 - 60, https://www.webofscience.com/api/gateway?GWVersion=2&SrcApp=PARTNER_APP&SrcAuth=LinksAMR&KeyUT=WOS:000693377800099&DestLinkType=FullRecord&DestApp=ALL_WOS&UsrCustomerID=891bb5ab6ba270e68a29b250adbe88d1
    Software / Code | 2018
    Stindl T, 2018, Multivariate Renewal Hawkes Process, CRAN, R Package, Published: 15 August 2018, Software / Code, https://cran.r-project.org/web/packages/MRHawkes/index.html
    Software / Code | 2017
    Stindl T, 2017, Renewal Hawkes Process, CRAN, CRAN, R Package, Published: 16 November 2017, Software / Code, https://cran.r-project.org/web/packages/RHawkes/index.html
    Software / Code | 2016
    Chen F, 2016, Inhomogeneous Self-Exciting Process, CRAN, R package, Published: 18 August 2016, Software / Code, https://cran.r-project.org/package=IHSEP
    Software / Code | 2015
    Chen F, 2015, Fitting a CoxSEI Model, CRAN, R package, Published: 04 February 2015, Software / Code, https://cran.r-project.org/package=coxsei
    Software / Code | 2014
    Chen F, 2014, Integral of B-Spline Functions, CRAN, R package, Published: 14 April 2014, Software / Code, https://cran.r-project.org/package=ibs
    Software / Code | 2012
    Chen F, 2012, Local polynomial estimators of intensity function or its derivatives, CRAN, R package, Published: 25 September 2012, Software / Code, https://cran.r-project.org/package=lpint
    Conference Presentations | 2007
    Chen F, 2007, 'Local Polynomial Estimation of Counting Process Intensities', presented at 56th Session of the ISI, Lisbon, Portugal

My Research Supervision

  • Hanwen Xuan (2021 --， with Clara Grazian): Black-Litterman model
  • Kevin Pan (2022 --, with Pavel Krivitsky): Network sampling