暨南经院统计学系列Seminar第126期:朱复康(吉林大学)

发布者:彭梅蕾发布时间:2023-10-25浏览次数:79


暨南经院学术系列活动之统计学系列Seminar126


主题:Conditional-mean multiplicative operator models for count time series


主讲人:朱复康 吉林大学


主持人:王国长 暨南大学


时间:20231020日(周五)上午900-1000


地点:暨南大学石牌校区经济学院大楼(中惠楼)102



摘要

Multiplicative error models (MEMs) are commonly used for real-valued time series, but they cannot be applied to discrete-valued count time series as the involved multiplication would not preserve the integer nature of the data. Thus, the concept of a multiplicative operator for counts is proposed (as well as several specific instances thereof), which are then used to develop a kind of MEMs for count time series (CMEMs). If equipped with a linear conditional mean, the resulting CMEMs are closely related to the class of so-called integer-valued generalized autoregressive conditional heteroscedasticity (INGARCH) models and might be used as a semi-parametric extension thereof. Important stochastic properties of different types of INGARCH-CMEM as well as relevant estimation approaches are derived, namely types of quasi-maximum likelihood and weighted least squares estimation. The performance and application are demonstrated with simulations as well as with two real-world data examples.


主讲人简介



朱复康,吉林大学数学学院教授、博士生导师,吉林国家应用数学中心副主任、吉林大学数学学院院长助理、概率统计与数据科学系主任。2008年博士毕业,2013年破格晋升教授。主要从事时间序列分析和金融统计的研究,已经在Annals of Applied StatisticsJournal of Business & Economic StatisticsStatistica Sinica等期刊上发表论文70余篇,其中入选ESI1%高被引论文2篇。主持国家自然科学基金面上项目3项和青年基金1项,曾获得教育部自然科学奖二等奖、吉林省科学技术奖二等奖、长春市有突出贡献专家等奖励或称号。现任中国现场统计研究会、全国工业统计学教学研究会、中国数学会概率统计分会等学会的理事或常务理事,现任SCI期刊Statistical PapersAssociate Editor,是JRSSBJBESAoAS70余个SCI期刊的匿名审稿人。


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