Dr. Y. (Yi) He
Faculty of Economics and Business
Section Quantitative Economics
Visiting address
- Roetersstraat 11
Postal address
- Postbus 15867
1001 NJ Amsterdam
Contact details
Social media
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Publications
2023
Einmahl, J. H. J., & He, Y. (2023). Extreme Value Estimation for Heterogeneous Data. Journal of Business & Economic Statistics, 41(1), 255-269. https://doi.org/10.1080/07350015.2021.2008408 [details]- Einmahl, J. H. J., & He, Y. (2023). Extreme value inference for heterogeneous power law data. Annals of Statistics, 51(3), 1331-1356. https://doi.org/10.1214/23-AOS2294
- He, Y. (2023). Ridge Regression Under Dense Factor Augmented Models. Journal of the American Statistical Association. https://doi.org/10.1080/01621459.2023.2206082
- He, Y., Jaidee, S., & Gao, J. (2023). Most powerful test against a sequence of high dimensional local alternatives. Journal of Econometrics, 234(1), 151-177. https://doi.org/10.1016/j.jeconom.2021.10.015 [details]
2022
- He, Y., Peng, L., Zhang, D., & Zhao, Z. (2022). Risk Analysis via Generalized Pareto Distributions. Journal of Business & Economic Statistics, 40(2), 852-867. https://doi.org/10.1080/07350015.2021.1874390 [details]
2020
- He, Y., Hou, Y., Peng, L., & Shen, H. (2020). Inference for Conditional Value-at-Risk of a Predictive Regression. The Annals of Statistics, 48(6), 3442–3464. https://doi.org/10.1214/19-AOS1937 [details]
2019
- He, Y., Hou, Y., Peng, L., & Sheng, J. (2019). Statistical Inference for a Relative Risk Measure. Journal of Business and Economic Statistics, 37(2), 301-311. https://doi.org/10.1080/07350015.2017.1321549
2017
- He, Y., & Einmahl, J. H. J. (2017). Estimation of extreme depth-based quantile regions. Journal of the Royal Statistical Society. Series B: Statistical Methodology, 79(2), 449-461. https://doi.org/10.1111/rssb.12163
Talk / presentation
- He, Y. (speaker) (19-12-2020). Unified extreme value estimation for heterogeneous data, 13th International Conference of the ERCIM WG on Computational and Methodological Statistics, London.
- He, Y. (speaker) (15-5-2020). Most powerful test against high dimensional free alternatives, Netherlands Econometric Study Group Conference, Tilburg. http://www.nesg.nl/
- He, Y. (speaker) (14-12-2019). Most powerful quadratic test against high dimensional free alternatives, 12th International Conference of the ERCIM WG on Computational and Methodological Statistics, London. http://cmstatistics.org/RegistrationsV2/CMStatistics2019/viewSubmission.php?in=1027&token=791o3o6pq8319745610p52s0o101s872
- He, Y. (speaker) (25-11-2019). Rethinking Extreme Value Statistics, Extreme TiDE Seminar, Delft. http://evt-seminar.nl/
- He, Y. (speaker) (1-7-2019). Statistical Inference for a Relative Risk Measure, 11th international conference on Extreme Value Analysis, Zagreb. https://web.math.pmf.unizg.hr/eva2019/programme/invited-talks
2021
- Einmahl, J. H. J. & He, Y. (11-11-2021). Dataset for "Extreme Value Estimation for Heterogeneous Data". Universiteit van Amsterdam. https://doi.org/10.21942/uva.16988527.v1
- Einmahl, J. H. J. & He, Y. (2021). Extreme Value Estimation for Heterogeneous Data. figshare Academic Research System. https://doi.org/10.6084/m9.figshare.17124050.v1
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Ancillary activities
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Monash University
Adjunct Research Fellow
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Monash University
Einmahl, J. H. J., & He, Y. (2023). Extreme Value Estimation for Heterogeneous Data. Journal of Business & Economic Statistics, 41(1), 255-269.