[Lecture] Tao Huang: Factor Modeling for High-Dimensional Time Series with Single-Index Factor Loadings
Time: 9:00-10:00am, Oct. 16th, 2020, Friday
Venue: Tencent meeting ID：207 363 438
Spreker:Tao Huang, Professor,Shanghai University of Finance and Economics
Abstract:We propose a novel factor model that decomposes the dynamic behavior of high-dimensional time series data into a few low-dimensional time series factors. The factor loadings are assumed to be unknown functions of covariates and have single-index forms that are flexible enough to efficiently decrease the bias of model misspecification and avoid the problems of dimensionality. The estimation procedure, asymptotic properties and numerical studies are presented. This is a jointed work with Xiaojing Cui and Jinhong You.
Speaker’s Bio:黄涛, 2004年获美国北卡罗莱纳大学教堂山分校统计系博士学位，2004年至2006年任美国耶鲁大学公共卫生学院博士后研究员，2006年至2010年任美国弗吉尼亚大学助理教授。现任上海财经大学统计与管理学院常任教授，博士生导师。主要研究方向包括半参数非参数建模与推断，复杂数据建模与分析等。
