Estimation and Identification of a Varying- Coefficient Additive Model for Locally Stationary Processes

                  主讲人: 尤进红

                  尤进红教授, 加拿大女皇大学(University of Regina)统计学博士,美国北卡罗纳教堂山分校博士后, 上海财经大学统计与管理学院tenured常任轨教授、博士生导师和副院长,全国工业统计学教学研究会第九届理事会副会长,曾任Quality Technology and Quantitative Management (QTQM), special issue: Mathematical and Statistical Finance的客座编委(Guest Editor)。 尤进红教授有十余年的北美学习、工作经历。长期从事计量经济学、数理统计以及生物统计的科学研究; 在半参数,非参数回归建模,估计,检验及其在经济学, 金融学和生物医学方面的应用开展了许多有价值的研究工作;在国际和国内著名的统计和经济学杂志(包括Journal of the American Statistical Association,Journal of Econometric等)上发表学术论文六十余篇,其中三大检索论文四十余篇,被SCI他引几百余次;主持和参与过多个国家自科基金项目;为国际著名统计和计量经济杂志Annals of Statistics, Journal of the American Statistical Association , BiometrikaJournal of Econometric等的论文评审人。

                  主持人: 钟威

                  The additive model and the varying-coefficient model are both powerful regression tools, with wide practical applications. However, our empirical study on a financial data has shown that both of these models have drawbacks when applied to locally stationary time series. For the analysis of functional data, Zhang and Wang have proposed a flexible regression method, called the varying-coefficient additive model (VCAM), and presented a two-step spline estimation method. Motivated by their approach, we adopt the VCAM to characterize the time-varying regression function in a locally stationary context. We propose a three-step spline estimation method and show its consistency and asymptotic normality. For the purpose of model diagnosis, we suggest an L2-distance test statistic to check multiplicative assumption, and raise a two-stage penalty procedure to identify the additive terms and the varying-coefficient terms provided that the VCAM is applicable. We also present the asymptotic distribution of the proposed test statistics, and demonstrate the consistency of the two-stage model identification procedure. Simulation studies investigating the finite sample performance of the estimation and model diagnosis methods confirm the validity of our asymptotic theory. A financial data is also considered.

                  时间: 2019-03-21(Thursday)16:40-18:00
                  地点: D235
                  主办单位: 统计系
                  承办单位: 统计系
                  类型: 独立讲座

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