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兰 伟

兰 伟


  • Education Background:

    2016--,Associate professor of Southwestern University of Finance and Economics

    2013--2016,Assistant professor of Southwestern University of Finance and Economics

    2009—2013,PHD in economics, Guanghua School of Management, Peking University.

    2005—2009, B.S. in Mathematics, School of Mathematical Science, Nankai University.

    2011.09—2012.01, Visiting scholar in UC-Davis, Graduate School of Management, and the instructor is Prof. Chih-Ling, Tsai.

    2012.01—2012.03, Visiting scholar in UW-Madison, Dept. of Statistics, and the instructor is Prof. Jun Shao.

    Research Interest:

    Ultra-high dimensional data analysis.

    Statistical analysis for network data.

    Risk management and portfolio allocation.

  • Professional Affiliations

    成都市统计协会理事,《金融研究》、《管理科学学报》、《中国科学》、Journal of the American Statistical Association、The Annals of Statistics、Journal of Business and Economic Statistics、Journal of Econometrics、Annals of the Institute of Statistical Mathematics、Computational Statistics & Data Analysis、Journal of Multivariate Analysis等国内外著名期刊匿名审稿人。

    论文发表:

  1. Wei Lan, Hansheng Wang and Chih-Ling Tsai (2012), “A Bayesian Information Criterion for Portfolio Selection,”Computational Statistics & Data Analysis, 56, 88-99.

  2. 罗荣华,兰伟,杨云红(2011),“基金的主动性管理提升了业绩吗,” 《金融研究》2011年第10期,通讯作者。

  3. Wei Lan, Hansheng Wang and Chih-Ling Tsai (2014), “Testing Covariates in High Dimensional Regression,” Annals of the Institute of Statistical Mathematics, 66, 279—301.

  4. Jing Zhou, On Kit Tam, and Wei Lan (2015), “Are investor protection and ownership concentration substitutes in Chinese family firms?” Emerging Markets Finance and Trade, 51,432—443.

  5. Wei Lan, Ronghua Luo, Chih-Ling Tsai, Hansheng Wang, and Yunhong Yang (2015), “Testing the Diagonality of a Large Covariance Matrix in a Regression Setting,” Journal of Business & Economic Statistics, 33, 77—86.

  6. Yingying Ma, Wei Lan and Hansheng Wang (2015), “Testing predictor significance with Ultra high dimensional multivariate responses,” Computational Statistics & Data Analysis, 83, 275—286.

  7. 罗荣华,兰伟,杨云红(2015),“基金排名与主动性水平:理论与实证,”中国管理科学,2015年第8期,158—167.

  8. Yingying Ma, Wei Lan and Hansheng Wang (2015), “A High Dimensional Two-Sample Test under a Low Dimensional Factor Structure,” Journal of Multivariate Analysis, 140,162—170.

  9. Wei Lan, Yue Ding, Zheng Fang and Kuangnan Fang (2016),“Testing Covariates in High Dimension Linear Regression with Latent Factors”,Journal of Multivariate Analysis, 144,25—37.

  10. 严成樑,李涛,兰伟(2016),“金融发展、创新与二氧化碳排放”,《金融研究》2016年第1期。

  11. Wei Lan, Ping-Shou Zhong, Runze Li, Hansheng Wang and Chih-Ling Tsai (2016),“Testing a Single Regression Coefficient in High Dimensional Linear Models,”Journal of Econometrics, 195, 154--168.

  12. Jing Zhou, On Kit Tam, and Wei Lan (2016), “Solving agency problems in Chinese family firms-A law and finance perspective,Asian Business & Management, 15,57--82.

  13. Jing Zhou, Wei Lan and Tang, Y (2016), “The value of institutional shareholders: Evidence from cross-border acquisitions by Chinese listed firmsManagement Decision, 54,44-65.

  14. Tao Zou, Wei Lan, Hansheng Wang, Chih-Ling Tsai (2017),“Covariance Regression Analysis”, Journal of the American Statistical Association, 112,266--281.

  15. Ronghua Luo and Wei Lan (2017),“Detecting homogeneous predictors in high dimensional panel model with a MCMC algorithm”,Communication in Statistics--Simulation and Computation,46,7376-7392.

  16. Pingshou Zhong, Wei Lan, Peter Song and Chih-Ling Tsai (2017),“Tests for Covariance Structures with High Dimensional Repeated Measurements,”The Annals of Statistics, 45,1185-1213.

  17. Wei Lan., Rui Pan., Ronghua Luo and Yongwei Chen (2017),“High dimensional cross-sectional dependence test under arbitrary serial correlation”,Science China-Mathematics, 60,345—360.

  18. Wei Lan,Yingying Ma, Junlong Zhao, Hansheng Wang and Chih-Ling Tsai (2018) “Sequential model averaging for high dimensional linear regression models”,Statistica Sinica, 28, 449--469.

  19. Wei Lan, Zheng Fang, Hansheng Wang and Chih-Ling Tsai (2018),“Covariance Matrix Estimation via Network Structure,” Journal of Business and Economics Statistics, 36,359--369.

  20. Wei Lan, Long Feng and Ronghua Luo (2018) “Testing high dimensional linear asset pricing models,” Journal of Financial Econometrics, 16,191-210.

  21. Jing Zhou and Wei Lan (2018),“Investor protection and cross-border acquisitions by Chinese listed firms: The moderating role of institutional shareholders ”, International Review of Economics and Finance, 56,438—450.

  22. Lilun Du, Wei Lan, Ronghua Luo and Pingshou Zhong (2018) “Factor adjusted multiple testing of correlations,” Computational Statistics & Data Analysis, 128,34—47.

  23. Danyang Huang, Wei Lan, Zhang, H, Hansheng Wang (2019),“Least Squares Estimation for Social Autocorrelation in Large-Scale Networks”,Electronic Journal of Statistics,13, 1135—1165.

  24. Fang fang., Wei Lan., Jingjing Tong and Jun Shao (2019) “Model averagying for prediction with fragmentary data,” Journal of Business and Economic Statistics, 37, 517—527.

  25. Wei Lan and Lilun Du (2019) “A Factor-Adjusted Multiple Testing Procedure with Application to Mutual Fund Selection”,Journal of Business and Economics Statistics, 37, 147—157.

  26. Ronghua Luo, Yi Liu and Wei Lan (2019) “A penalized expected risk criterion for portfolio selection”, China Finance Review International, 3, 386—400.

  27. Kuangnan Kuang, Xinyan Fan, Wei Lan and Bingquan Wang (2019),“Nonparametric additive beta regression for fractional response with application to body fat data”,Annals of Operations Research, 276, 331—347.

  28. Yingying Ma, Wei Lan*, Fanyin Zhou and Hansheng Wang (2020) “Approximate Least Squares Estimation for Spatial Autoregressive Models with Covariates”, Computational Statistics & Data Analysis,143.

  29. Lin, H, Wei Liu and Wei Lan (2020) “Regression Analysis with individual-specific patterns of missing covariates,” Journal of Business and Economic Statistics, In Press.

  30. Shujie Ma, Wei Lan, Liangjun Su and Chih-Ling Tsai (2020) “Testing alpha in conditional time-varying factor models with high dimensional assets,” Journal of Business and Economic Statistics, In Press.

  31. Tao Zou, Ronghua Luo, Wei Lan and Chih-Ling Tsai (2020) “Network influence analysis,”Statistica Sinica, In Press.


研究项目

  1. 国家青年自然科学基金,“高维近似因子模型框架下的多重检验及其应用”,项目批准号:11401482,2015/1-2017/12,项目主持人。

  2. 国家自然科学基金重点项目,“大数据驱动的管理决策模型和算法”,项目批准号:71532001, 2016/1-2020/12,子项目负责人。

  3. 国家自然科学基金重点项目,“半参数集成回归推断”,项目批准号:11931014, 2020/1-2024/12,子项目负责人。

  4. 国家自然科学基金重大项目子课题,“时空数据建模与预测研究”,项目批准号:71991472,2020/1-2024/12,参与人。

  5. 国家自然科学基金面上项目,“协方差阵的推断及在方向数据分析中的应用”,项目批准号:11471264,2015/1-2017/12,主研。

  6. 国家青年自然科学基金,“层次贝叶斯模型中隐形变量分布的非参数估计及在RNA-seq数据中的应用”,项目批准号:11401483,2015/1-2017/12,主研。

会议报告:

    泛华统计协会年会,交流报告,广州,2010年12月。

    数量方法在商务中的应用国际研讨会,交流报告,北京,2010年6 月。

    第一届无锡国际统计论坛,无锡,2011年6 月。

    IMS-China, 成都,2013年6月。


  • 承担的本-硕-博专业课程:

    本科: 应用时间序列,统计学,随机过程。

    硕士,博士:高等数理统计,面板数据分析。

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