报告人：张荣茂教授

              浙江大学数学科学学院

题目：Estimating Fractional Cointegration Subspaces by Eigenanalysis

时间：2018年03月21日下午15:30

地点：海韵行政楼B313

报告摘要：In this talk, we will introduce a semiparametric method to identify fractional cointegrated components of multivariate integrated processes, consisting of an eigenanalysis for a certain non-negative definite matrix. This method is model free and allows the order for different component of the vector series to be different and fractional-valued. Asymptotic properties of the proposed methods are investigated both when the dimension of the observable time series is fixed as sample size increases, and when it diverges slowly. Illustration with both simulated and real data sets is also reported.

报告人简介：张荣茂，浙江大学数学科学学院教授、博士生导师，浙江省杰出青年基金获得者，《Journal of the Korean Statistical Society》等杂志编委。主要从事随机场的渐近理论和非平稳时空序列的研究工作，已在概率、统计和计量经济等重要学术期刊包括JASA、JOE等顶级学术期刊上发表SCI论文30多篇。主持和完成三项国家自然科学基金。

联系人：王海斌教授

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