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英国约克大学张文扬教授学术报告

时间:2019-12-12 13:43      来源:新皇冠体育

报告题目:High Dimensional Dynamic Covariance Matrices with Homogeneous Structure

人:英国约克大学张文扬教授

报告时间:20191213日(周五)下午3:00-4:00

报告地点:清水河主楼A1-513

人:夏应存 教授


报告摘要:

High dimensional covariance matrices appear in many disciplines. Muchliterature has devoted to the research in high dimensional covariancematrices.  However, most research is about constant covariance matrices, andconstant covariance matrices are not sufficient in application, e.g. inportfolio allocation, dynamic covariance matrices would be more appropriate.There are two difficulties with the introduction of dynamic structures intocovariance matrices: (1) simply assuming each entry of a covariance matrix is afunction of time to introduce the dynamic needed would not work; (2) there is arisk of having too many unknowns to estimate due to the high dimensionality.

In this talk, we propose a dynamic structure embedded with a homogeneousstructure. We will demonstrate the proposed dynamic structure makes more sensein application and avoids, in the meantime, too many unknownparameters/functions to estimate, due to the embedded homogeneous structure.An estimation procedure is also proposed to estimate the proposed highdimensional dynamic covariance matrices, and asymptotic properties areestablished to justify the proposed estimation procedure. Intensive simulationstudies show the proposed estimation procedure works very well when the samplesize is finite. Finally, we apply the proposed high dimensional dynamiccovariance matrices to portfolio allocation. It is interesting to see theresulting portfolio allocation yields much better returns than some commonlyused ones.


报告人简介:

张文扬教授是英国顶尖大学约克大学的统计学首席教授,商务和经济统计方面的国际顶尖期刊 Journal of Business & Economic Statistics 的副主编。张文扬教授主要从事大数据分析,金融数据分析,高维数据分析,非参数建模、时间序列分析、空间数据分析,多层次建模,生存分析,结构方程模型等方向的研究,他关于ABC方法的一篇论文被引用超过2300多次。曾先后在英国伦敦政治经济学院、英国 Kent 大学、英国 Bath 大学、英国 York 大学任教,现为英国 York 大学统计学首席教授。他曾是英国皇家统计学会科研委员会委员(历史上仅有三位华人担任该委员会委员),曾经连续担任三届统计学三大国际顶尖期刊之一 Journal of the American Statistical Association 的副主编。


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