Phyllis Wan is an Assistant Professor at the Department of Econometrics, Erasmus University Rotterdam. Her academic interests include statistical and econometric methods, quantitative risk management, high-dimensional data and machine learning. Her recent research focuses on extreme value analysis and its applications in economics, finance, meteorology and hydrology. She holds a PhD from Columbia University.
List of publications
Wan, P. and Davis, R. (2020). Goodness-of-fit testing for time series models via distance covariance Journal of Econometrics, :.
Auerbach, J. and Wan, P. (2020). Forecasting the Urban Skyline with Extreme Value Theory International Journal of Forecasting, 36(3):814--828.
Wan, P. (2020). Discussion of: Graphical models for extremes Journal of the Royal Statistical Society. Series B. Statistical Methodology, 82(4):871--932.