数学与统计学院学术报告——孔新兵教授

日期: 2018-07-25 阅读: 来源: 关键词:

  应兰州大学数学与统计学院李周平副教授邀请,南京审计大学统计与数学学院孔新兵教授于近期访问我校并作学术报告。

  报告题目:Factor and residual empirical processes
  报告时间:7月26日(星期四)上午9:30
  报告地点:齐云楼911报告厅

  摘  要:The distributions of the factor return and specific error for an individual variable are important in forecasting and applications. However, they are not identified with low dimensional observations. Using the recently developed theory for large dimensional approximate factor model for large panel data, the factor return and specific error can be estimated consistently. Based on the estimated factor returns and residual errors, we construct the empirical processes for estimation of the distribution functions of the factor return and specific error, respectively. We prove that the two empirical processes are oracle efficient when $T=o(p)$, where $p$ and $T$ are the dimension and sample size, respectively. This demonstrates that the factor and residual empirical processes behave as well as the empirical processes pretending that the factor returns and specific errors for an individual variable are directly observable. Based on this oracle property, we construct simultaneous confidence bands (SCBs) for the distributions of the factor return and specific error. For the first order consistency of the estimated factor and residual distributions, $\sqrt{T}% =o(p)$ suffices. Extensive simulation studies check that the estimated bands have good coverage frequencies. Our real data analysis shows that the factor return distribution has a structural change during the crisis in 2008, while the idiosyncratic return distribution does not change much.

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报告人简介:

  孔新兵博士于2007年在兰州大学数学与统计学院获得硕士学位,2011年在香港科技大学数学系获得博士学位。现为南京审计大学统计与数学学院、统计与大数据研究院教授。主要研究方向为金融计量、网络数据分析、髙维数据分析,在统计学四大顶级学术期刊Annals of Statistics, Journal of the American Statistical Association, Biometrika,计量经济学顶级期刊Journal of Econometrics发表学术论文十余篇。他是国际统计学会(International Statistical Institute, ISI)的推选会员(2016),入选江苏省双创计划,苏州市高等院校、科研院所高层次紧缺人才计划,曾获得香港数学会最佳博士论文奖、复旦大学管理学院青年新星奖。现任中国现场统计学会生存分析分会常务理事、副秘书长,资源环境统计分会常务理事,金融计量分会常务理事,SCI二区杂志RMTA编委。

应用数学与复杂系统省级重点实验室
数学与统计学院
萃英学院
大数据科学研究中心
二〇一八年七月二十四日

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