Estimating Time-Varying Networks for High-Dimensional Time Series

主讲人:Jia Chen
主讲人简介:

陈佳教授于2008年取得浙江大学理学博士学位,后于2008-2011在澳大利亚阿德莱德大学和蒙纳士大学从事博士后研究。现为约克大学经济系正教授。陈佳教授在非参数和半参数统计、面板数据建模和统计推断、高维统计和计量经济学等领域取得了一系列国际领先的研究成果,并同时担任Journal of Nonparametric Statistics、Economic Modelling以及Australian and New Zealand Journal of Statistics副主编。陈佳教授已有20余篇科研论文发表于国际知名统计学和计量经济学期刊。其中包括Annals of Statistics、Journal of the American Statistical Association、Journal of Econometrics、Journal of Business and Economic Statistics、Econometric Theory、Econometrics Journal

主持人:洪永淼
简介:

We explore time-varying networks for high-dimensional locally stationary time series, using the large VAR model framework with both the transition and (error) precision matrices evolving smoothly over time. Two types of time-varying graphs are investigated: one containing directed edges of Granger causality linkages, and the other containing undirected edges of partial correlation linkages. Under the sparse structural assumption, we propose a penalised local linear method with time-varying weighted group LASSO to jointly estimate the transition matrices and identify their significant entries, and a time-varying CLIME method to estimate the precision matrices. The estimated transition and precision matrices are then used to determine the time-varying network structures. Under some mild conditions, we derive the theoretical properties of the proposed estimates including the consistency and oracle properties. In addition, the developed methodology and theory are extended to highly correlated large-scale time series, for which the sparsity assumption becomes invalid and factor-adjusted time-varying networks are estimated. Extensive simulation studies and an empirical application to a large U.S. macroeconomic dataset are provided to illustrate the finite-sample performance of the developed methods.

时间:2023-01-03 (Tuesday) 16:30-18:00
地点:腾讯会议:375 8612 5504
讲座语言:中文
期数:“邹至庄讲座”青年学者论坛(第47期)
主办单位:中国科学院大学经济与管理学院、中国科学院预测科学研究中心、厦门大学邹至庄经济研究院、NSFC"计量建模与经济政策研究”基础科学中心
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类型:系列讲座
专题网站:
联系人信息:许老师,0592-2182991

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