Biography
I am an Associate Lecturer in Statistics at the School of Mathematics and Statistics. My research interest is in probability theory and stochastic processes. In particular, I am interested in self-exciting point processes (Hawkes processes) and their asymptotic behaviour. I have taught undergraduate and postgraduate courses on statistics, probability, and stochastic processes.
Professional affiliations and service positions
- Statistical...view more
I am an Associate Lecturer in Statistics at the School of Mathematics and Statistics. My research interest is in probability theory and stochastic processes. In particular, I am interested in self-exciting point processes (Hawkes processes) and their asymptotic behaviour. I have taught undergraduate and postgraduate courses on statistics, probability, and stochastic processes.
Professional affiliations and service positions
- Statistical Consultant at Stats Central (Mark Wainwright Analytical Centre), 2023 --
- Early Career and Student Statistician (ECSS) Representative, Statistical Society of Australia (NSW Branch), 2023 --
- Equity Officer, Statistical Society of Australia (NSW Branch), 2023 --
- Member, Statistical Society of Australia, 2022 --
- EDI Committee, UNSW Sydney, 2021 --
Conferences and talks
- JB Douglas Award, 2022, 'Asymptotic inference theory of Hawkes processes';
- CFE-CMStatistics Conference, 2022, 'Asymptotic inference theory of Hawkes processes';
- UNSW Sydney Postgraduate Conference, 2021, 'Asymptotic inference theory of the Hawkes process with time-varying baseline intensity and a general excitation kernel';
- UNSW Sydney Postgraduate Conference, 2020, 'Parametric inference of the Hawkes process with time-varying background intensity;
- UNSW Sydney Postgraduate Conference, 2019, 'Parametric inference of the non-stationary Hawkes process'.
Professional Teaching Development Programs
- UNSW Sydney Teaching Accelerator Program, 2022
- UNSW Sydney Foundations of University Learning and Teaching Program (FULT), 2022
- UNSW Online: Teacher Coaching Program, 2022
My Awards
- Excellence in Postgraduate Research, Statistical Society of Australia, New South Wales Branch, 2022
- Nominee for the JB Douglas Award, Statistical Society of Australia, New South Wales Branch, 2022
- Business School Award for Teaching Excellence, University of New South Wales, 2021
- University Medal and Class 1 honours in Statistics, University of New South Wales, 2017
- Alma Douglas Prize for Level 3 Statistics, University of New South Wales, 2016
- Faculty of Science Dean's List for academic excellence, University of New South Wales, 2016
My Research Activities
- Asymptotic inference theory;
- Ergodic theory;
- Financial data analysis and modeling;
- Financial data modeling;
- Heavy-traffic asymptotics;
- Infill asymptotics;
- Locally stationary Hawkes processes;
- Point processes and their inference and applications.
Publications
Kwan J; Chen F; Dunsmuir W, 2023, 'Alternative asymptotic inference theory for a non-stationary Hawkes process', Journal of Statistical Planning and Inference, (preprint)
Kwan J; Chen F; Dunsmuir W, 'Ergodicity of Hawkes process with a general excitation kernel' (in preparation)
Kwan J; Chen F; Dunsmuir W, 'Ergodicity of Hawkes processes with time-varying baseline intensities and general excitation kernels, and applications in asymptotic inference' (in preparation)
My Research Supervision
Supervision keywords
Areas of supervision
- Point processes and their inference and applications;
- Locally stationary Hawkes processes;
- Financial data analysis and modeling;
- Asymptotic inference;
- Infill asymptotics;
-
Heavy-traffic asymptotics.
My Teaching
Courses convened
- CVEN2002, Civil and Environmental Engineering Computations;
- DATA1001, Introduction to Data Science and Decisions;
- DATA3001, Data Science and Decisions in Practice;
- DATA9001, Fundamentals of Data Science;
- MATH2089, Numerical Methods and Statistics;
- MATH5846, Introduction to Probability and Stochastic Processes;
- ZZSC5905, Statistical Inference for Data Scientists;
- ZZSC9001, Foundations of Data Science.
Courses taught
- ACTL3141, Modelling and Prediction of Life and Health Related Risks;
- ACTL3142, Statistical Machine Learning for Risk and Actuarial Applications;
- ACTL3151, Actuarial Mathematics for Insurance and Superannuation;
- ACTL3162, General Insurance Techniques;
- ACTL3182, Asset-Liability and Derivative Models;
- ACTL5104, Survival Analysis and Prediction of Life and Health related Risks;
- ACTL5106, Insurance Risk Models;
- CVEN2002, Civil and Environmental Engineering Computations;
- MATH1031, Mathematics for Life Sciences;
- MATH1041, Statistics for Life and Social Sciences;
- MATH1131, Mathematics 1A;
- MATH1141, Higher Mathematics 1A;
- MATH1151, Mathematics for Actuarial Studies and Finance 1A;
- MATH1231, Mathematics 1B;
- MATH1241, Higher Mathematics 1B;
- MATH1251, Mathematics for Actuarial Studies and Finance 1B;
- MATH2019, Engineering Mathematics 2E;
- MATH2069, Mathematics 2A;
- MATH2089, Numerical Methods and Statistics;
- MATH2099, Mathematics 2B;
- MATH2859, Probability, Statistics and Information;
- MATH3821, Statistical Modelling and Computing;
- MATH5846, Introduction to Probability and Stochastic Processes;
- MATH5905, Statistical Inference;
- ZZSC5806, Regression Analysis for Data Scientists;
- ZZSC5855, Multivariate Analysis for Data Scientists.
- ZZSC5905, Statistical Inference for Data Scientists;
- ZZSC9001, Foundations of Data Science.