主题：Mean-preserving rounding integer-valued ARMA models
主讲人：朱富康 吉林大学
主持人：王国长 暨南大学
时间：2024年10月12日（周六）上午10:00
地点：暨南大学石牌校区经济学院大楼（中惠楼）503室
摘要
In the past four decades, research on count time series has made significant progress, but research on Z-valued time series is relatively rare. Existing Z-valued models are mainly of autoregressive structure, where the use of the rounding operator is very natural. Because of the discontinuity of the rounding operator, the formulation of the corresponding model identifiability conditions and the computation of parameter estimators need special attention. It is also difficult to derive closed-form formulae for crucial stochastic properties. We rediscover a stochastic rounding operator, referred to as mean-preserving rounding, which overcomes the above drawbacks. Then, a novel class of Z-valued ARMA models based on the new operator is proposed, and the existence of stationary solutions of the models is established. Stochastic properties including closed-form formulae for (conditional) moments, autocorrelation function, and conditional distributions are obtained. The advantages of our novel model class compared to existing ones are demonstrated. In particular, our model construction avoids identifiability issues such that maximum likelihood estimation is possible. A simulation study is provided, and the appealing performance of the new models is shown by several real-world data sets.
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、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，2021年任唐敖庆领军教授。主要从事时间序列分析和金融统计的研究，已经在Annals of Applied Statistics、Journal of Business & Economic Statistics、Statistica Sinica、Scandinavian Journal of Statistics、Journal of Time Series Analysis、中国科学-数学等期刊上发表论文多篇，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，连续两年(2022-2023)入选美国斯坦福大学发布的全球前2%顶尖科学家榜单。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 Papers、Journal of Statistical Computation and Simulation的Associate Editor，是JASA、JRSSB、JBES、AoAS等80余个SCI期刊的匿名审稿人。指导的研究生1人获得吉林省优秀博士学位论文、3人获得吉林省优秀硕士学位论文。
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校对| 王国长
责编| 彭 毅
初审| 姜云卢
终审发布| 何凌云
（来源：暨南大学经济学院微信公众号）
