报告人:Hanlin Shang
报告地点:腾讯会议
报告时间:2020年12月21日星期一10:00-11:00
邀请人:胡江
报告摘要:
We study a functional version of fractionally integrated time series, covering the functional unit root as a special case. The functional time series are projected onto a finite number of sub-spaces, the level of nonstationarity allowed to vary over them. Under regularity conditions, we derive a weak convergence result for the projection of the fractionally integrated functional process onto the asymptotically dominant sub-space, which retains most of the sample information carried by the original functional time series. Through the classic functional principal component analysis of the sample variance operator, we obtain the eigenvalues and eigenfunctions which span a sample version of the dominant sub-space. Furthermore, we introduce a simple ratio criterion to consistently estimate the dimension of the dominant sub-space, and use a semiparametric local Whittle method to estimate the memory parameter. Monte-Carlo simulation studies and empirical applications are given to examine the finite-sample performance of the developed techniques.
会议ID:425705488
主讲人简介:
Hanlin Shang is currently a professor at the Department of Actuarial Studies and Business Analytics, Macquarie University in Sydney, Australia. His research interests include Demographic Forecasting, Life Insurance and Empirical Finance. Prof. Shang is currently serving as an editor for Australian & New Zealand Journal of Statistics, an Associate editor for Journal of Computational and Graphical Statistics, Journal of the Royal Statistical Society: Series A, Computational Statistics, Forecasting. Prof. Shang has published many papers in the top journals, including JASA, JoE, JBES, etc.