活动时间：6月11日15：00-16:30
活动地点：统计学院资料室（1号楼1502）
报告题目：Rank estimator of the factor number: random perturbation, expansion and central limit theorem
主讲人：孔新兵
报告摘要： In this talk, we introduce a random-perturbation-based rank estimator of the factor number of a large-dimensional approximate factor model. We obtain an expansion of the rank estimator, which demonstrates that the random perturbation reduces the biases due to the persistency of the factor series and the dependence between the factor and error series. We establish a central limit theorem of the rank estimator with convergence rate faster than root $n$, which gives a new hypotheses testing procedure applicable for both one-sided and two-sided alternatives. Simulation studies justify the performance of the test.
报告人简介：孔新兵，南京审计大学教授、香港科技大学博士。研究领域为经济统计、数理统计、网络数据统计。孔新兵教授主持自然科学基金面上、青年项目各1项；教育部人文社科项目1项。在统计学顶级期刊JASA、AOS、 Biometrika以及计量经济学顶级期刊JOE发表论文十余篇。
