2024
11.27
暨南经院统计学系列Seminar第153期:李国栋(香港大学)
主题:Supervised Factor Modeling for High-Dimensional Linear Time Series主讲人:李国栋香港大学主持人:王国长暨南大学时间:2024年11月22日(周五)下午16:30-17:30地点:暨南大学石牌校区经济学院大楼(中惠楼)306室摘要Motivated by Tucker tensor decomposition, this paper imposes low-rank structures to the column and row spaces of coefficient matrices in a multivariate infinite-order vector autoregression (VAR), which leads to a supervised factor model with two factor modelings being conducted to responses and predictors simultaneously. Interestingly, the stationa