Spatial-temporal Model with Heterogeneous Random Effects
时间：2022-06-24
阅读量：352次
- 演讲人： 朱倩倩（上海财经大学统计与管理学院，副教授）
- 时间：2022年06月29日 周三上午10:00
- 地点：腾讯会议 815-764-550
- 主办单位：数据科学研究中心
摘要：In this paper, we propose a novel spatial-temporal model with individual random effects characterized by a location-scale structure, which allows us to flexibly capture the pure influence of space-specific factors in a quantile regression framework. A hybrid two-stage estimation procedure is introduced for this model. The first stage proposes a Gaussian quasi-maximum likelihood estimator for the spatial-temporal effects, and the second constructs a weighted conditional quantile estimator, which we use to study the conditional quantiles of the random effects related to space-specific attributes. We verify the validity of the two-stage hybrid estimation, and establish the asymptotic properties of our estimators. The results of our simulation study indicate that the proposed estimation procedure performs well in different scenarios with finite-samples. Lastly, we apply the proposed method to data from a real case study on the air quality of China.
报告人简介：朱倩倩，上海财经大学统计与管理学院副教授，博士生导师。2017年在香港大学取得博士学位并加入上海财经大学。主要研究方向为时间序列分析，研究成果主要发表在《Journal of the Royal Statistical Society, Series B》、《Journal of Econometrics》、《Econometric Theory》、《Statistica Sinica》及《Journal of Business & Economic Statistics》等国际权威期刊上。主持国家自然科学基金青年项目、上海市“浦江人才计划”团队项目和“晨光计划”项目。
联系人：高照省（zhaoxing_gao@zju.edu.cn）
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