特邀南京审计大学孔新兵教授来我校做学术报告

发布单位:学院办公室创建者:胡文涛发布时间:2018-12-24浏览量:1070

报告题目:Rank estimator of the factor number: random perturbation, expansion and central limit theorem

报告人:孔新兵

报告时间:2018年12月26日(星期三)16:50-17:30

报告地点:尚贤楼706

主持人:来鹏副教授

欢迎广大师生踊跃参加!

报告内容简介:

In this short note, we introduce a random-perturbation-based rank estimator of the factor number of a large-dimensional approximate factor model. We obtain an expansion of the rank estimator, which demonstrates that the random perturbation reduces the biases due to the persistency of the factor series and the dependence between the factor and error series. We establish a central limit theorem of the rank estimator with convergence rate faster than root $n$, which gives a new hypotheses testing procedure applicable for both one-sided and two-sided alternatives. Simulation studies justify the performance of the test.

 

                                                                                                 数学与统计学院

                                                                                                 2018年12月24日