报告题目：Nonstationary Fractionally Integrated Functional Time Series

报 告 人：李德柜教授

报告时间：2020年8月19日18:00-19:00 （北京时间）

报告地点：腾讯会议 会议 ID：114 965 998

点击链接入会：https://meeting.tencent.com/s/s49g8VK5Esll

报告摘要：

We study a functional version of fractionally integrated time series, covering the functional unit root as a special case. The functional time series are projected onto a finite number of sub-spaces, the level of nonstationarity allowed to vary over them. Under regularity conditions, we derive a weak convergence result for the projection of the fractionally integrated functional process onto the asymptotically dominant sub-space, which retains most of the sample information carried by the original functional time series. Through the classic functional principal component analysis of the sample variance operator, we obtain the eigenvalues and eigenfunctions which span a sample version of the dominant sub-space. Furthermore, we introduce a simple ratio criterion to consistently estimate the dimension of the dominant sub-space, and use a semiparametric local Whittle method to estimate the memory parameter. Monte-Carlo simulation studies and empirical applications are given to examine the finite-sample performance of the developed techniques. This is a joint work with Peter Robinson and Hanlin Shang.

报告人简介：

李德柜，英国约克大学数学系教授，2008年在浙江大学数学系取得理学博士学位。 主要从事时间序列和计量经济的研究，在国际学术刊物上发表论文四十余篇，其中包括在AOS，JASA，JOE，JBES等国际统计学与计量经济学顶级期刊上的论文近二十篇。

邀请人：王汉超 副教授

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