博士生讨论班2025[27]
时间：2025-12-08
阅读量：171次
- 演讲人： 秦桢杰
- 时间：2025年12月9日14:00
- 地点：浙江大学紫金港校区行政楼1417报告厅
- 主办单位：浙江大学数据科学研究中心
报告文章：Factor Model Based Estimation for High Dimensional Reduced-Rank Time Series
摘要：High-dimensional time series are very common in reality. Analyzing each series separately may not be a good strategy, as it may miss some important information and result in a less optimal outcome. Even worse, in some cases, it may not even provide an answer to the question of interest. Reduced-rank model is an important tool for joint analysis of high-dimensional multiple-response time series. In this paper, we develop a new and powerful method for estimating the coefficient matrix of a multiple-response reduced-rank time series model based on factor models. With the help of the estimated factors, we also propose two statistics for testing the dependence of high-dimensional time series. Asymptotic results for the proposed estimators and tests are established. Intensive simulation studies show that the proposed procedure is more powerful than its alternatives. We also apply the proposed method to a real dataset to illustrate its usefulness in solving real-life problems.