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Associate Professor Feng Chen

Associate Professor Feng Chen

Associate Professor
Science
School of Mathematics & Statistics

ABOUT ME

Ìý

Biography

I am an Associate Professor 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.ÌýÌý

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

Ìý

Research interests

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

Ìý

TEACHING & OUTREACH

Ìý

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 DataÌý
  • MATH5835 - Advanced Stochastic Processes (current)

Professional affiliations and service positions

  • Associated Editor forÌýJournal of Statistical Planning and Inference (2019 --)
  • Statistics Honours Coordinator,ÌýSchool 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 | 2024
    Shao Z; Yao X; Chen F; Wang Z; Gao J, 2024, 'Revisiting time-varying dynamics in stock market forecasting: A Multi-source sentiment analysis approach with large language model', Decision Support Systems, pp. 114362 - 114362,
    Journal articles | 2023
    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, 24, pp. 101543 - 101543,
    Journal articles | 2023
    Kwan J; Chen F; Dunsmuir W, 2023, 'Alternative asymptotic inference theory for a non-stationary Hawkes process', Journal of Statistical Planning and Inference,
    Journal articles | 2023
    Stindl T; Chen F, 2023, 'EM algorithm for the estimation of the RETAS model', Journal of Computational and Graphical Statistics,
    Journal articles | 2023
    Stindl T; Chen F, 2023, 'STOCHASTIC DECLUSTERING OF EARTHQUAKES WITH THE SPATIOTEMPORAL RENEWAL ETAS MODEL', Annals of Applied Statistics, 17, pp. 3173 - 3194,
    Journal articles | 2023
    Stindl T; Chen F, 2023, 'Stochastic declustering of earthquakes with the spatiotemporal renewal ETAS model', Annals of Applied Statistics,
    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 | 2023
    Xuan H; Maestrini L; Chen F; Grazian C, 2023, 'Stochastic Variational Inference for GARCH Models', Statistics and Computing
    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, 71, pp. 1356 - 1380,
    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, 21, pp. 50 - 68,
    Journal articles | 2021
    Stindl T; Chen F, 2021, 'Accelerating the estimation of renewal Hawkes self-exciting point processes', Statistics and Computing,
    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, 105, pp. 335 - 352,
    Journal articles | 2019
    Stindl T; Chen F, 2019, 'Modeling extreme negative returns using marked renewal Hawkes processes', Extremes, 22, pp. 705 - 728,
    Journal articles | 2019
    Wee D; Chen F; Dunsmuir W, 2019, 'Likelihood inference for a COGARCH process using sequential Monte Carlo', Journal Of Financial Econometrics, 17, pp. 229 - 253,
    Journal articles | 2018
    Chen F; Tan WH, 2018, 'Marked self-exciting point process modelling of information diffusion on Twitter', Annals of Applied Statistics, 12, pp. 2175 - 2196,
    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, 227, pp. 643 - 648,
    Journal articles | 2018
    stindl ; Chen F, 2018, 'Likelihood Based Inference for the Multivariate Renewal Hawkes Process', Computational Statistics and Data Analysis, 123, pp. 131 - 145,
    Journal articles | 2017
    Chen F; Stindl T, 2017, 'Direct Likelihood Evaluation for the Renewal Hawkes Process', Journal of Computational and Graphical Statistics, 27, pp. 119 - 131,
    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, 12, pp. e0175580,
    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, 36, pp. 2682 - 2696,
    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, 38, pp. 269 - 277,
    Journal articles | 2016
    Chen F; Hall P, 2016, 'Nonparametric Estimation for Self-Exciting Point Processes—A Parsimonious Approach', Journal of Computational and Graphical Statistics, 25, pp. 209 - 224,
    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, 25, pp. 1503 - 1526,
    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, 15, pp. 66,
    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, 10, pp. e0133809,
    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, 46, pp. 142 - 156,
    Journal articles | 2014
    Chen F; Chen K, 2014, 'Case-cohort analysis of clusters of recurrent events', Lifetime Data Analysis, 20, pp. 1 - 15,
    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, 3, pp. 126 - 137,
    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, 110, pp. 26 - 30,
    Journal articles | 2013
    Chen F; Chen K, 2013, 'Case-cohort analysis of clusters of recurrent events', Lifetime Data Analysis, pp. 1 - 15,
    Journal articles | 2013
    Chen F; Hall P, 2013, 'Inference for a Nonstationary Self-Exciting Point Process with an Application in Ultra-High Frequency Financial Data Modeling', Journal of Applied Probability, 50, pp. 1006 - 1024,
    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, 50, pp. 1006 - 1024,
    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, 8, pp. e55000,
    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, 148, pp. 98 - 103,
    Journal articles | 2013
    Zhu J; Chen F, 2013, 'Dividend optimization for regime-switching general diffusions', Insurance Mathematics and Economics, 53, pp. 439 - 456,
    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, 38, pp. 631 - 649,
    Journal articles | 2011
    Chen F, 2011, 'Maximum local partial likelihood estimators for the counting process intensity function and its derivatives', Statistica Sinica, 21, pp. 107 - 128,
    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, 65, pp. 934 - 940,
    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, 11, pp. 11pp,
    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, 52, pp. 17 - 26,
    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, 19, pp. 177 - 196,
    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, 37, pp. 294 - 306
    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, 57, pp. 447 - 459
    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, 37, pp. 2634 - 2652,
    Journal articles | 2005
    Li Z; Zhu J; Feng C, 2005, 'Study of a risk model based on the entrance process', Statistics and Probability Letters, 72, pp. 1 - 10,
  • Conference Papers | 2022
    Tan WH; Chen F, 2022, 'On the Choice of Functionals Obtained from the Predictive Distribution of Future Retweet Counts', Pahang, Malaysia, presented at 3rd International Conference on Applied & Industrial Mathematics and Statistics 2022, Pahang, Malaysia, 24 August 2022 - 26 August 2022
    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,
    Software / Code | 2018
    Stindl T, 2018, Multivariate Renewal Hawkes Process, CRAN, R Package, Published: 15 August 2018, Software / Code,
    Software / Code | 2017
    Stindl T, 2017, Renewal Hawkes Process, CRAN, R Package, Published: 16 November 2017, Software / Code,
    Software / Code | 2016
    Chen F, 2016, Inhomogeneous Self-Exciting Process, CRAN, R package, Published: 18 August 2016, Software / Code,
    Software / Code | 2015
    Chen F, 2015, Fitting a CoxSEI Model, CRAN, R package, Published: 04 February 2015, Software / Code,
    Software / Code | 2014
    Chen F, 2014, Integral of B-Spline Functions, CRAN, R package, Published: 14 April 2014, Software / Code,
    Software / Code | 2012
    Chen F, 2012, Local polynomial estimators of intensity function or its derivatives, CRAN, R package, Published: 25 September 2012, Software / Code,
    Conference Presentations | 2007
    Chen F, 2007, 'Local Polynomial Estimation of Counting Process Intensities', presented at 56th Session of the ISI, Lisbon, Portugal

  • Feng Chen, Tom Stindl, William Dunsmuir, Jiancang Zhuang. "Inference for Hawkes processes with challenging data", Australian Research Council, Discovery Project. 2024 - 2026, $463,452.Ìý
  • Ying-Yeh Chen, Feng Chen, Yu-Shan Yang, Shu-Ping Lin. "Exploring the Impact of Social Media and Internet Use on Suicide Behavior on Youth: A Mixed Method Study",ÌýTaiwan Ministry of Science and Technology (MOST) grant. Aug 2022- Jul 2025, NTD $4,285,233 (~AUD$210K).

  • UNSW Science 2023 Staff Impact Award - Research Innovation.Ìý

  • ÌýGuest Editor for the JABES (Journal of Agricultural,ÌýBiological, and Environmental Statistics) Special issueÌý"TheÌýHawkes Process: Theory, Methodology, Algorithms, Extension, andÌýApplications in Environmental Sciences"
  • Associate Editor for ACM Transactions on Probabilistic Machine Learning (2023 --)
  • Associate Editor for the Journal of Statistical PlanningÌýand Inference (2019--)
  • ÌýDirector of Research Postgraduate Studies - Future Students, School of Mathematics and Statistics, UNSW Sydney (2023 -- )
  • Statistics Research Posgraduate Coordinator, UNSW School of Mathematics and Statistics (2019 -- 2022)
  • Statistics Honours Coordinator, School of Mathematics and Statistics, UNSW (2013 -- 2018)
  • ÌýMember of the Scientific Committee of the 3rd InternationalÌýConference on Econometrics and Statistics (EcoSta 2019), andÌýorganizer and chair of Session EO075 -- Advances in HawkesÌýprocesses and their applications

My Research Supervision

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