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Personal profile

Personal Statement

I joined Department of Mathematics and Statistics in 2007. Previously I have worked at Peking University and London School of Economics. My major research interests are in Time Series Analysis, Financial Econometrics and Multivariate Analysis. My research outcomes have been published in the top journals in Statistics and Econometrics such as Biometrika, Journal of Econometrics and Econometric Theory. I have been invited to be a referee for Annals of Statistics, Biometrika, Econometric Theory, Econometrics Journal, Journal of Econometrics, Journal of the American Statistical Association, Journal of Multivariate Analysis. Science China Mathematics, Journal of Royal Statistical Society(Series B), Stochastic Processes and their Applications, and many other journals. I was one of session chairs of 7th World Congress in Probability and Statistics. I was one of keynote speakers for the session of financial time series in the world congress of computational statistics. 

During my post at Peking University, I was the principal investigator of several projects supported by the national Natural Science Foundation of China (NSFC), and was awarded the second-rank prize of natural science by the Ministry of Education in China. I have been appointed as a reviewer for NSFC for the past eighteen years. I have a great number of long-time collaborators based in China, US and UK. Currently I am carrying out research on modelling high dimensional dynamic data and social networks with my four PhD students. I also have joint research on Chemometrics with colleagues in Department of Pure and Applied Chemistry for a major H2020 project ModLife. 

  

Fingerprint Dive into the research topics where Jiazhu Pan is active. These topic labels come from the works of this person. Together they form a unique fingerprint.

Generalized Autoregressive Conditional Heteroscedasticity Mathematics
Threshold Model Mathematics
GARCH Model Mathematics
Maximum Likelihood Estimation Mathematics
Autoregressive Conditional Heteroscedasticity Mathematics
Bilinear Model Mathematics
Normal Mixture Mathematics
Regular Variation Mathematics

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Projects 2009 2019

Joint/External PhD Training Programme with SCAU

Pan, J.

1/01/19 → …

Project: Knowledge Exchange

File

Research Output 1998 2018

  • 26 Article
  • 1 Conference contribution book

A scalar dynamic conditional correlation model: structure and estimation

Wang, H. & Pan, J., 1 Oct 2018, In : Science China Mathematics. 61, 10, p. 1881–1906 26 p.

Research output: Contribution to journalArticle

Open Access
File
Scalar
Model
Stationarity
β-mixing
Geometric Ergodicity
1 Citation (Scopus)

Bayesian analysis of multiple thresholds autoregressive model

Pan, J., Xia, Q. & Liu, J., 1 Mar 2017, In : Computational Statistics. 32, 1, p. 219–237 19 p.

Research output: Contribution to journalArticle

Open Access
File
Threshold Autoregressive Model
Bayesian Analysis
Metropolis-Hastings Algorithm
Stochastic Search
Gibbs Sampler

Activities 2008 2019

Journal of Applied Statistics (Journal)

Jiazhu Pan (Referee)
24 Sep 2019

Activity: Publication peer-review and editorial work typesJournal peer review

Recent Research on Dynamic High Dimensional Data

Jiazhu Pan (Keynote speaker)
20 May 20195 Jun 2019

Activity: Talk or presentation typesInvited talk