Prof. Dr. Jianqing Fan

Profile

Academic positionFull Professor
Research fieldsMathematical and Applied Statistics,Economic Policy, Applied Economics,Statistics and Economics
Keywordsderivative pricing, financial modeling, high-frequency-data, maching learning

Current contact address

CountryUnited States of America
CityPrinceton
InstitutionPrinceton University
InstituteDepartment of Operations Research and Financial Engineering

Host during sponsorship

Prof. Dr. Wolfgang HärdleInstitut für Statistik und Ökonometrie, Humboldt-Universität zu Berlin, Berlin
Prof. Dr. Vladimir SpokoinyFachgruppe Stochastische Algorithmen und Nichtparametrische Statistik, Weierstraß-Institut für Angewandte Analysis und Stochastik (WIAS), Berlin
Start of initial sponsorship01/10/2007

Programme(s)

2006Humboldt Research Award Programme

Nominator's project description

Jianqing Fan's work includes different areas of stochastics, statistics, mathematics and computational biology. Special emphasis in his work is put on the modelling and prediction of regression relations under weak structural assumptions. His outstanding knowledge of nonparametric techniques and his skills in mathematics make it possible to combine these seemingly separate fields of science. His leading contributions make use of the toolbox of modern mathematical statistics (time varying parametric models, semiparametric high dimensional modelling, additive models). The wide spectrum of J. Fan's publications, which are published in the most outstanding journals of statistical science, proves the extent of his mathematical skills. He handles with great diligence modern procedures of spatial inhomogeneity and smoothing techniques to solve questions in time homogenious semiparametric problems. The theoretical contributions of J. Fan to non- and semiparametric statistics are honored by a series of well endowed grants. His insights into data driven modelling have greatly influenced the theoretical and empirical literature.