Academic Report of School of Mathematical Sciences [2025] No. 154

(Series Report for High-Level University Construction No. 1255)

Title：Factor Model Based Estimation for High Dimensional Reduced-Rank Time Series

Speaker：Professor Rongmao Zhang（Zhejiang Gongshang University）

Time：9:30-10:30, Dec.11, 2025

Location：Tencent Meeting (Number: 456184692)

Abstract：High-dimensional time series are very common in reality. Analyzing each series separately may not be a good strategy, as it may miss some important information and result in a less optimal outcome. Even worse, in some cases, it may not even provide an answer to the question of interest. Reduced-rank model is an important tool for joint analysis of high-dimensional multiple-response time series. In this talk, we will introduce a new and powerful method for estimating the coefficient matrix of multiple-response reduced-rank time series based on factor models. With the help of the estimated factors, we also propose two statistics for testing the dependence of high-dimensional time series. Asymptotic results for the proposed estimators and tests are established. Intensive simulation studies show that the proposed procedure is more powerful than its alternatives. We also apply the proposed method to a real dataset to illustrate its usefulness in solving real-life problems.

Speaker Profile：Rongmao Zhang , Distinguished Professor at Zhejiang Gongshang University and Associate Dean of the School of Statistics and Data Science. He currently serves as Vice Chairman of the Zhejiang Provincial Institute of Field Statistics, Vice Chairman of the Multivariate Analysis Applications Committee, and Council Member of the China Society of Probability and Statistics. Previously served as Professor at the School of Mathematical Sciences, Zhejiang University; Adjunct Professor at the Center for Data Science and the School of Economics; and Minjiang Scholar Distinguished Professor. Earned his Ph.D. from Zhejiang University in 2004. Conducted postdoctoral research at Peking University from July 2004 to June 2006. Worked at Zhejiang University from 2006 to June 2024, with multiple visiting fellowships at the Hong Kong University of Science and Technology, The Chinese University of Hong Kong, and the London School of Economics and Political Science. His research focuses on the theory and applications of non-stationary time series and high-dimensional spatiotemporal data. He has published over 60 SSCI/SCI papers in leading statistical and econometric journals, including the Annals of Statistics (AOS), Journal of the American Statistical Association (JASA), Journal of Econometrics (JOE), Econometric Theory (ET), and Journal of Business and Economic Statistics (JBES). In 2015, he received the Zhejiang Province Outstanding Young Scientist Fund and has led multiple National Natural Science Foundation of China (NSFC) and provincial/ministerial-level projects. In 2021, he was the primary recipient of the Zhejiang Provincial Natural Science Award (Second Prize) and the inaugural Statistics Science and Technology Progress Award (Third Prize). He also serves as an editorial board member for the Journal of Korean Statistics (JKSS).

Faculty and students are welcome to attend!

Invited by:  Haijin He

School of Mathematical Sciences

December 10, 2025