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学术报告五十:Testing against the constancy of large dimensional factor ......

来源:数学与统计学院     作者:     时间:2016/11/21 9:52:23  0次

数学与统计院学术报告[2016] 050号

(高水平大学建设系列报告062)

讲座题目: Testing against the constancy of large dimensional factor loading matrix with high frequency data

讲座人:      孔新兵 教授    苏州大学   

讲座时间:2016.11.23    15:00-17:00

讲座地点:科技楼511                                                          

报告内容:we introduce a nonparametric test against the constancy of the factor loading matrix of a large dimensional continuous time factor model using high frequency data. The central limit theorems of the test statistics with and without perturbation are established under the null hypothesis that the factor loading matrix is constant as time evolves. It is shown that the tests have good performance in size and power. Interestingly, the test statistic (before standardization) without perturbation converges with a rate depending not only on the sample size but also the dimensionality through cross sectional dependence, which is a distinctive feature contrast to the low dimensional setting. Extensive numerical studies including the Monte-Carlo simulation and real data analysis justify the performance of our test. 

报告人简历 孔新兵2011年博士毕业于香港科技大学,现为苏州大学教授。主要研究方向包括金融统计,统计机器学习,数理统计。 发表SCI论文多篇,包括统计学顶级杂志 AOS, JASA, 计量经济学顶级杂志 JOE。

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深圳大学统计科学研究所

深圳大学数学与统计学院

2016-11-21

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