報(bào)告題目：Conditional-mean multiplicative operator models for count time series
報(bào)告專(zhuān)家：朱復(fù)康教授
報(bào)告地點(diǎn)：9-122會(huì)議室
報(bào)告時(shí)間：2024年3月28日（周四）上午10:00-11:00
報(bào)告摘要：Multiplicative error models (MEMs) are commonly used for real-valued time series, but they cannot be applied to discrete-valued count time series as the involved multiplication would not preserve the integer nature of the data. Thus, the concept of a multiplicative operator for counts is proposed (as well as several specific instances thereof), which are then used to develop a kind of MEMs for count time series (CMEMs). If equipped with a linear conditional mean, the resulting CMEMs are closely related to the class of so-called integer-valued generalized autoregressive conditional heteroscedasticity (INGARCH) models and might be used as a semi-parametric extension thereof. Important stochastic properties of different types of INGARCH-CMEM as well as relevant estimation approaches are derived, namely types of quasi-maximum likelihood and weighted least squares estimation. The performance and application are demonstrated with simulations as well as with two real-world data examples.
報(bào)告人簡(jiǎn)介：朱復(fù)康，吉林大學(xué)數(shù)學(xué)學(xué)院教授、博士生導(dǎo)師，吉林國(guó)家應(yīng)用數(shù)學(xué)中心副主任、院長(zhǎng)助理、概率統(tǒng)計(jì)與數(shù)據(jù)科學(xué)系主任。2008年博士畢業(yè)，2013年破格晉升教授，2021年任唐敖慶領(lǐng)軍教授。主要從事時(shí)間序列分析和金融統(tǒng)計(jì)的研究，已經(jīng)在A(yíng)nnals of Applied Statistics、Journal of Business & Economic Statistics、Statistica Sinica、中國(guó)科學(xué)-數(shù)學(xué)等期刊上發(fā)表論文多篇，主持國(guó)家自然科學(xué)基金面上項(xiàng)目3項(xiàng)和青年基金1項(xiàng)，曾獲得教育部自然科學(xué)獎(jiǎng)二等獎(jiǎng)、吉林省科學(xué)技術(shù)獎(jiǎng)二等獎(jiǎng)、長(zhǎng)春市有突出貢獻(xiàn)專(zhuān)家等獎(jiǎng)勵(lì)，入選美國(guó)斯坦福大學(xué)發(fā)布的全球前2%頂尖科學(xué)獎(jiǎng)榜單。現(xiàn)任中國(guó)現(xiàn)場(chǎng)統(tǒng)計(jì)研究會(huì)、全國(guó)工業(yè)統(tǒng)計(jì)學(xué)教學(xué)研究會(huì)、中國(guó)數(shù)學(xué)會(huì)概率統(tǒng)計(jì)分會(huì)等學(xué)會(huì)的理事或常務(wù)理事，現(xiàn)任SCI期刊Statistical Papers的Associate Editor，是JRSSB、JBES、AoAS等80余個(gè)SCI期刊的匿名審稿人。
作者：佘緯；編輯：劉鹍；審核：郭暉；上傳：郭敏。
