講座編號(hào)：jz-yjsb-2022-y006
講座題目：Spatial-temporal Model with Heterogeneous Random Effects
主 講 人：馮興東 教授 上海財(cái)經(jīng)大學(xué)
講座時(shí)間：2022年4月13日（星期三）下午14:00
講座地點(diǎn)：騰訊會(huì)議，會(huì)議ID：851 813 567
參加對(duì)象：數(shù)學(xué)與統(tǒng)計(jì)學(xué)院全體教師及研究生
主辦單位：數(shù)學(xué)與統(tǒng)計(jì)學(xué)院、研究生院
主講人簡(jiǎn)介：
馮興東，上海財(cái)經(jīng)大學(xué)統(tǒng)計(jì)與管理學(xué)院院長(zhǎng)、統(tǒng)計(jì)學(xué)教授、博士生導(dǎo)師。研究領(lǐng)域?yàn)閿?shù)據(jù)降維、穩(wěn)健方法、分位數(shù)回歸以及在經(jīng)濟(jì)問(wèn)題中的應(yīng)用、大數(shù)據(jù)統(tǒng)計(jì)計(jì)算、強(qiáng)化學(xué)習(xí)等，在國(guó)際頂級(jí)統(tǒng)計(jì)學(xué)期刊Journal of the American Statistical Association、Annals of Statistics、Journal of the Royal Statistical Society-Series B、Biometrika以及人工智能頂會(huì)NeurIPS上發(fā)表論文多篇。2018年入選國(guó)際統(tǒng)計(jì)學(xué)會(huì)推選會(huì)員(Elected member)，2019年擔(dān)任全國(guó)青年統(tǒng)計(jì)學(xué)家協(xié)會(huì)副會(huì)長(zhǎng)以及全國(guó)統(tǒng)計(jì)教材編審委員會(huì)第七屆委員會(huì)專(zhuān)業(yè)委員（數(shù)據(jù)科學(xué)與大數(shù)據(jù)技術(shù)應(yīng)用組），2020年擔(dān)任第八屆國(guó)務(wù)院學(xué)科評(píng)議組（統(tǒng)計(jì)學(xué)）成員，2022年擔(dān)任全國(guó)應(yīng)用統(tǒng)計(jì)專(zhuān)業(yè)碩士教指委委員，兼任國(guó)際統(tǒng)計(jì)學(xué)權(quán)威期刊Annals of Applied Statistics編委（Associate Editor）以及國(guó)內(nèi)統(tǒng)計(jì)學(xué)權(quán)威期刊《統(tǒng)計(jì)研究》編委。
主講內(nèi)容：
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 the framework of quantile regression.
A hybrid two-stage estimation procedure is introduced for this model, where the first stage proposes a Gaussian quasi-maximum likelihood estimator (QMLE) for the spatial-temporal effects while the second stage constructs a weighted conditional quantile estimator (WCQE) to study the conditional quantiles of the random effects related to space-specific attributes.
The validity of the two-stage hybrid estimation is verified, and the asymptotic properties of our estimators are established.
Our simulation study indicates that the proposed estimation procedure performs well in different scenarios with finite samples, and a real case study on the air quality of China is used to illustrate the application of the proposed method.