当前位置: 首页 > 学术活动 > 正文
Quasi maximum likelihood estimation for large-dimensional matrix factor models
时间:2024年07月01日 19:14 点击数:

报告人:袁超凤

报告地点:MK官方APP下载415教室

报告时间:2024年07月04日星期四10:00-11:00

邀请人:刘秉辉

报告摘要:

In this study, we introduces a novel approach, called  the quasi maximum likelihood estimation (Q-MLE), for estimating large-dimensional matrix factor models. In contrast to the principal components based approach, Q-MLE takes into account heteroskedasticities of the diosyncratic error term, which are simultaneously estimated with other parameters. Theoretical analysis shows that the Q-MLE estimator of the factor loading matrices achieves faster convergence rates than  most existing estimators under similar conditions. We also present the asymptotic distributions of the Q-MLE estimators. Extensive numerical experiments demonstrate that the Q-MLE method performs better empirically, especially when heteroscedasticity exists. Furthermore, two real examples in finance and macroeconomics reveal factor patterns across rows and columns, which coincide with financial, economic, or geographical interpretations.

主讲人简介:

袁超凤,黑龙江大学数学科学学院,教授、硕士研究生导师。主要研究方向为高维因子分析、面板数据分析及时间序列分析,研究成果主要发表在JRSSB、JBES、TEST等统计学权威期刊。

©2026 MK中国官网 – 官方APP下载 | 品牌资讯 | 正品保障 版权所有

地址:吉林省长春市人民大街5268号 邮编:130024 电话:0431-85099589 传真:0431-85098237

师德师风监督举报电话、邮箱:85099577 sxdw@nenu.edu.cn