潘光明教授学术报告：Estimating the number of the factors for the hierarchical factor models
发布时间：2023-06-07 浏览次数：10
报告题目：Estimating the number of the factors for the hierarchical factor models
报告人：潘光明，新加坡南洋理工大学教授
报告时间：2023年6月7日14：00-15:00
报告地点：雁山校区理四区501报告厅
报告摘要：This paper considers hierarchical factor models for high-dimensional time series. We focus on the estimation of the number of factors when the factors are of different degrees of strength. We propose new model selection criteria to estimate the number of the factors by using principal components of the sample covariance matrices of data as a leading term and a function involving the ratio of the adjacent eigenvalues as a penalty function when both the sample size and the dimension of time series go to infinity together. We show that the new criteria are strongly consistent. Simulations and empirical applications are also conducted to demonstrate the good performance of the criteria.
报告人简介：潘光明，新加坡南洋理工大学教授，博士生导师。2005年博士毕业于中国科学技术大学统计金融系；之后在新加坡国立大学、台湾中山大学、荷兰埃因霍温科技大学做博士后和学术交流工作；自2008年以来，在新加坡南洋理工大学工作；2013年遴选为国际统计学会会员(Elected Member of International Statistical Institute)。研究领域包括计量经济理论、高维统计、随机矩阵、多元统计等。主持新加坡国家基金项目5项，已在《Journal of the Royal Statistical Society Series B》、《Annals of Statistics》、《Journal of the American Statistical Association》、《Annals of Probability》、《Annals of Applied Probability》、《Bernoulli》、《IEEE Transactions on Signal Processing》、《IEEE Transactions on Information Theory》等顶级统计学杂志上发表60余篇学术论文，担任《Random Matrices: Theory and Applications》杂志编委。