[Lecture] Xinyu Zhang：Some topics on least squares model averaging
Time: 10:30-11:30am, Jun. 5th, 2021, Saturday
Venue: Tencent meeting ID：612 438 046
Spreker: Xinyu Zhang, Forecasting Center Fellow, Institute of Mathematics and Systems Sciences, Chinese Academy of Sciences
Abstract:Least squares model averaging has been explored in depth from the theoretical perspective and has been used widely in empirical applications. In this talk, I will introduce least squares model averaging and its asymptotic optimality, weight convergence, asymptotic distribution and finite sample property. Also, I will talk about its extension to high-dimensional case and averaging machine learning methods.
Speaker’s Bio:张新雨，中科院数学与系统科学研究院/预测中心研究员。主要研究方向为模型平均、模型选择和组合预测。担任期刊《JSSC》领域主编、期刊《SADM》Associate Editor、期刊《系统科学与数学》和《应用概率统计》编委，是中国统筹法优选法与经济数学研究会数据科学分会副理事长和国际统计学会当选会员。
