科研(Research)

科研项目(Research projects)

  • 国家自然科学基金面上项目, 带网络结构信息的多维时间序列建模方法， 2024.1-2027.12
  • 国家社会科学基金年度项目, 基于极值理论的动态网络风险分析及风险传染机制研究， 2022.6-2026.6
  • 国家自然科学基金面上项目“网络相依结构下金融风险度量及回溯检验研究与应用”（批准号：71771203 ） 2018.1-2021.12
  • 国家自然科学基金面上项目“极值理论在风险理论中的应用研究”（批准号：11171321） 2012.1-2015.12
  • 国家青年科学基金项目 “重尾场合下随机金融风险模型中的破产风险问题”（批准号：10801124）2009.1-2011.12

教学项目(Teaching projects)

  • 数理统计, 国家一流课程（线下）， 2023-2028
  • 实用随机过程, 国家一流课程（线下）, 2020-2025
  • 面向工科类本科生课程《随机过程》教学方式改革研究, 省教研教改重点项目, 2020-2022
  • “双循环”新发展格局下“随机分析”课程设计和教学改革, 省教研教改一般项目， 2022-2024

论文发表

  • C. Zhang, L. Xue, Y Chen, H. Lian, A. Qu (2025). Local signal detection on irregular domains with generalized varying coefficient models. Journal of the American Statistical Association, forthcoming. https://doi.org/10.1080/01621459.2024.2423972
  • L. Shu, Y Chen, Y Hao, Q. Yang (2025). SFQRA: Scaled Factor-augmented Quantile Regression with Aggregation in Conditional Mean Forecasting. Journal of Multivariate Analysis, forthcoming.
  • X. Li, L. Shu, Y Chen (2025). Factor-driven completion of tensor data with missing entries. Communications in Statistics: Simulation and Computation. https://doi.org/10.1080/03610918.2024.2361134
  • L. Song, Y Chen (2025). Does a non-performing assets disposal fund help control systemic risk? Evidence from Chinese interbank financial network. Financial Innovation, 10.1186/s40854-024-00667-7, forthcoming.
  • Y Chen, Z. Hu, J. Hu, L. Shu (2025). Block structure-based covariance tensor decomposition for group identification in matrix variables. Statistics and Probability Letters, forthcoming. https://authors.elsevier.com/c/1jf-Xc8a~MPwV, 216, 110251.
  • X. Guo, Y. Chen, C. Tang (2023). Information criteria for latent factor models: A study on factor pervasiveness and adaptivity. Journal of Econometrics, 233: 237-250.
  • Z. Shen, Y. Chen, R. Shi (2022). Modeling tail index with autoregressive conditional Pareto model. Journal of Business & Economic Statistics, 458-466.
  • Y. Chen, Z. Wang, Z. Zhang (2019). Mark to market value at risk. Journal of Econometrics, 208: 299-321.
  • J. Hu, X. Chen, Y. Chen, W. Zhang (2024). Joint Network Reconstruction and Community Detection from Rich but Noisy Data. Journal of Computational and Graphical Statistics, 33: 501-514.
  • J. Hu, Y. Chen, C. Leng, C. Tang (2024). Applied regression analysis of correlations for correlated data. Annals of Applied Statistics, 18(1): 184-198.
  • Chen X, Hu J, Chen Y (2024). GBTM: Community detection and network reconstruction for noisy and time-evolving data. Information Sciences, 679: 121069.
  • Jin S., Song L., Shu L., Chen Y (2024). Systemic risk in Chinese interbank lending networks. Empirical Economics, 67: 2359-2564.
  • Chen Y, Gao Y., Shu L., et al. (2023). Network effects on risk co-movements. Finance Research Letters, 56: 104070.
  • Hu Y., Chen Y, Mao T. (2024). An Extreme Worst-Case Risk Measure by Expectile. Advances in Applied Probability, 56: 1195-1214.
  • Sun H., Chen Y (2023). Extreme behaviors of tail Gini-type measures. Probability in the Engineering and Informational Sciences, 37: 928-942.
  • Tan K., Chen Y, Chen D. (2023). MMVaR: A new risk measure. Journal of Systems Science and Complexity, 36: 2026-2045.
  • Xia J., Chen Y, Guo X. (2024). Inference for high-dimensional linear models. Journal of Time Series Analysis, 45: 78-102.
  • Zhu X., Chen Y, Hu J. (2024). Estimation of banded time-varying precision matrix. Computational Statistics and Data Analysis, 189: 107849.
  • Shu L., Chen Y, Zhang W., et al. (2022). Spatial rank-based change point detection. Journal of Multivariate Analysis, 189: 1-22.
  • 张伟平, 李叶蓁, 陈昱, 等. (2023). 时序相依数据的简约Gauss copula建模. 中国科学: 数学, 53(5): 777-790.
  • Yu Chen, Zhicheng Wang, Zhengjun Zhang. (2019). Mark to market value at risk. Journal of Econometrics, 208: 299-321.
  • Yu Chen, Yu Gao, Wenxue Gao, Weiping Zhang. (2018). Second-Order Asymptotics of the Risk Concentration of a Portfolio with Deflated Risks. Mathematical Problems in Engineering, Article ID 4689479.
  • Yu Chen, Yingying Yang. (2014). Ruin probabilities with insurance and financial risks having an FGM dependence structure. Science China Mathematics, 57(5): 1071-1082.
  • Yu Chen, Weiping Zhang, Chun Su. (2014). Precise large deviations for generalized dependent compound renewal risk model with consistent variation. Frontier Mathematics China, 9(1): 31-44.
  • Zhihui Qu, Yu Chen. (2013). Approximations of the tail probability of the product of dependent extremal random variables and applications. Insurance: Mathematics and Economics, 169-178.
  • Yu Chen, Yin Huang, Weiping Zhang. (2012). Asymptotic ruin probabilities for proportional investment under interest force with dominatedly-varying-tailed claims. Journal of the Korean Statistical Society, 41(1): 87-95.
  • Laisheng Wei, Weiping Zhang, Yu Chen. (2012). The Superiorities of Bayes Linear Unbiased Estimator in Multivariate Linear Models. Acta Mathematicae Applicatae Sinica - English Series, 383-394.
  • Weiping Zhang, Yu Chen. (2011). The Superiorities of Bayes Linear Unbiased Estimator in Multivariate Linear Models. Acta Mathematica Applicatae Sinica (to appear).
  • Yi, L., Chen Y, and Su, C. (2011). Approximation of the tail probability of randomly weighted sums of dependent random variables with dominated variation. J. Math. Anal. Appl., 376, 365-372.
  • Yu Chen, Yin Huang, Zhang Weiping. (2011). Asymptotic Ruin Probabilities for Proportional Investment Under Interest Force With Dominatedly-Varying-Tailed Claims. Journal of the Korean Statistical Society.
  • Yu Chen, Weiping Zhang, Jie Liu. (2010). Asymptotic Tail Probability of Randomly Weighted Sum of Dependent Heavy-Tailed Random Variables. Asia-Pacific Journal of Risk and Insurance, Vol. 4, Iss. 2.
  • 陈昱, 吴进 (2011). 常数投资风险资产策略下保险公司的破产概率. 中国科学技术大学学报.
  • Weiping Zhang, Yu Chen (2010). Double sampling method for genetic association analysis with differential genotyping errors. Biostatistics, Bioinformatics, and Biomathematics, Vol. 1, 43-54.
  • Yu Chen, Weiping Zhang (2007). Large deviations for random sums of negatively dependent random variables with consistently varying tails. Statist. Probab. Letters, Vol. 77(5): 530-538.
  • Chen Yu, Su Chun (2006). Finite time ruin probability with heavy-tailed insurance and financial risks. Statist. Probab. Letters, 76: 1812-1820.
  • Su Chun, Chen Yu (2006). On the behavior of the product of independent random variables. Science in China, Series A, 49(3): 342-359.
  • Jie Liu, Chun Su, Yu Chen (2008). Limiting theorems for the nodes in binary search trees. Science in China Series A: Mathematics, Vol. 51, No. 1, 101-114.
  • Su Chun, Hu Zhishui, Chen Yu, Liang Hanying (2007). A wide class of heavy-tailed distributions and its applications. Front. Math. China, 2(2): 257-286.
  • Su Chun, Chen Yu(2007). Behaviors of the Product of Independent Random Variables. Int. Journal of Math. Analysis, 1: 21 – 35.
  • 陈昱, 苏淳 (2006). 有利息力情形下的有限时间破产概率. 中国科学技术大学学报, 36(9), 909－916.

返回(Back)