讲座题目：Estimation and Inference for Dynamic Single Index Varying Coefficient Models

报告人：尤进红

讲座时间：2019.12.4（周三）9:30-10:15

讲座地点：图文信息楼407室

内容简介：

Motivated by applications, we propose a class of dynamic single index varying coefficient models to explore the varying interaction effects between a set of covariates and the response variable, namely the interaction effects are allowed to change with some interested factors, such as time, spatial location or other covariates. A spline based approach is developed to estimate the index and varying coefficient functions. The convergence rates and asymptotic normalities of the resulting estimators are established. It is also shown that the resulting estimators own an oracle property. In addition, a penalized method is presented to select related variables and the consistency of the penalized estimator is proved. We propose a test statistic to check whether the interaction effect is varied with the interested factors as well and establish the asymptotic normality of the test statistic. Simulation studies and two real data analyses illustrate that the proposed model and the corresponding methods work well in finite samples.

个人简介：

      尤进红教授， 加拿大女皇大学（University of Regina）统计学博士，美国北卡罗纳教堂山分校博士后， 上海财经大学统计与管理学院tenured常任轨教授、博士生导师和副院长，全国工业统计学教学研究会第九届理事会副会长，曾任Quality Technology and Quantitative Management (QTQM), special issue: Mathematical and Statistical Finance的客座编委（Guest Editor）。 尤进红教授有十余年的北美学习、工作经历。长期从事计量经济学、数理统计以及生物统计的科学研究； 在半参数，非参数回归建模，估计，检验及其在经济学， 金融学和生物医学方面的应用开展了许多有价值的研究工作；在国际和国内著名的统计和经济学杂志（包括Journal of the American Statistical Association，Journal of Econometric等）上发表学术论文六十余篇，其中三大检索论文四十余篇，被SCI他引几百余次；主持和参与过多个国家自科基金项目；为国际著名统计和计量经济杂志Annals of Statistics, Journal of the American Statistical Association , Biometrika和Journal of Econometric等的论文评审人。