报告题目：Order determination for large dimensional matrices

主 讲 人：朱力行教授

报告时间：2020年9月24日15:00-16:00

报告地点：腾讯会议 会议ID：858 144 011

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

报告摘要：

Underdetermination of model dimensionality (order) is a longstanding problem when existing eigendecomposition-based criteria are used. To alleviate this difficulty, we propose a thresholding double ridge ratio criterion in this paper. Unlike all existing eigendecomposition-based criteria, the proposed criterion can provide a consistent estimate even when there are several local minima. For illustration, we present the generic strategy with three important applications: dimension reduction in regressions； model checking with local alternative models; and ultra-high dimensional approximate factor models. Numerical studies are conducted to examine the finite sample performance of the proposed method.

邀 请 人：林路教授

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