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清華大學統計學研究所
國立清華大學統計學研究所
2017-03-16(四),主講人:蔡瑞胸 院士 (Booth School of Business, University of Chicago)

清華大學、交通大學

統 計 學 研 究 所

專 題 演 講

 


講 題: Testing and Variable Selection for High-Dimensional Time Series
演講者: 蔡瑞胸 院士 (Booth School of Business, University of Chicago)
時 間: 106年03月16日(星期四)10:40 - 12:00noon  (10:20 - 10:40am 茶會於統計所821室舉行)
地 點: 綜合三館837室
摘 要:

Abstract

This talk is concerned with analysis of high-dimensional time series. We consider two main issues in analysis of high-dimensional time series. The first issue is testing for serial correlations when the dimension is high and the second issue is variable selection. Limiting distributions of the statistics used in testing and variable selection are derived. Some finite sample corrections are also introduced. We use simulations to demonstrate the performance of the proposed statistics and to compare them with other existing methods, including LASSO. Real examples are also used.

 

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