Shenzhen University School of Mathematical Sciences  

Liyuan Scholars Colloquium Session 182

Title: Nonparametric Estimation of Periodic Parameters in Periodic Linear Time Series Models with Periodic Conditional Heteroscedasticity

Speaker: Professor Chen Min (Chinese Academy of Sciences)

Time: 15:00–16:00, October 16, 2026

Location: Room 633, Huiyan Building, Yuehai Campus, Shenzhen University

Abstract:Periodic phenomena are widely exist in various fields such as finance, economics, astronomy, and meteorology. Accurately estimating the periodic parameters of time series with periodic characteristics is of crucial importance for modeling and forecasting such time series. This paper mainly focuses on the period estimation of periodic linear time series models with periodic conditional heteroscedasticity, a very common structure in financial data. We propose a nonparametric period estimation method, specifically a "leave-out-one-cycle" cross-validation based on M-quantile loss. Theoretically, we establish the consistency of the period estimator. Simulation results demonstrate that the proposed method achieves satisfactory estimation accuracy and robustness in finite samples, especially when the error sequence of the model follows heavy-tailed or skewed distributions, or when the data are contaminated by outliers, our results are superior to the existing methods in the literature. The practical applications of the well-known time series of sunspots, EI Ni\~{n}o sea surface temperature series and quarterly real GDP growth rate data of the G20 illustrate the effectiveness of our method. This study provides a more general and reliable modeling framework for identifying periodic structures in complex financial time series.

Speaker Profile: Chen Min is a researcher and doctoral advisor at the Academy of Mathematics and Systems Science, Chinese Academy of Sciences, and a recipient of the State Council’s Special Government Allowance. He currently serves as a Distinguished Professor and doctoral advisor at Shanxi University; Academic Dean of the School of Mathematics and Statistics; Chair of the National Technical Committee for Standardization of Applied Statistical Methods; and President of the National Association for Industrial Statistics Education. He previously served as Vice President of the Chinese Mathematical Society; Chair of the Mathematical Olympiad Committee of the Chinese Mathematical Society; Vice President of the Chinese Society for Statistics Education; Vice President of the Beijing Big Data Association; Editor-in-Chief of Mathematical Statistics and Management; Associate Editor of the Acta Mathematicae Applicatae Sinica (Chinese Edition); and Vice President of the Academy of Mathematics and Systems Science, Chinese Academy of Sciences. His primary research areas include: financial statistical theory and methods; statistical analysis of nonlinear time series; large-sample theory of nonparametric statistical estimation and testing; theory and methods of biostatistics; applied statistics (industrial statistics, statistical standardization, and financial and tax information technology); and statistical theory and algorithms for big data analysis and processing. He has published and translated seven textbooks and monographs; he has published more than 160 papers on statistical theory and applications, economics, finance, and management science in top-tier and core academic journals both domestically and internationally, including more than 110 papers indexed in SCI and EI. He has served as principal investigator on one Key Project of the National Natural Science Foundation of China and led a sub-project under one Major Project of the National Natural Science Foundation of China.

All faculty and students are welcome!  

School of Mathematical Sciences  

October 15, 2026