应数学与统计学院李周平教授邀请，西南财经大学常晋源教授将于2023年3月7日上午进行线上学术报告，欢迎全校师生参加。

报告题目：On the Modelling and Prediction of High-Dimensional Functional Time Series

时 间：3月7日（星期二）上午10:00

地 点：腾讯会议（会议 ID：727-181-958）

报告摘要：We propose a two-step procedure to model and predict high-dimensional functional time series, where the number of function-valued time series $p$ is large in relation to the length of time series $n$. Our first step performs an eigenanalysis of a positive definite matrix, which leads to a one-to-one linear transformation for the original high-dimensional functional time series, and the transformed curve series can be segmented into several groups such that any two subseries from any two different groups are uncorrelated both contemporaneously and serially. Consequently in our second step those groups are handled separately without the information loss on the overall linear dynamic structure. The second step is devoted to establishing a finite-dimensional dynamical structure for all the transformed functional time series within each group. Furthermore the finite-dimensional structure is represented by that of a vector time series. Modelling and forecasting for the original high-dimensional functional time series are realized via those for the vector time series in all the groups. We investigate the theoretical properties of our proposed methods, and illustrate the finite-sample performance through both extensive simulation and three real datasets.

欢迎广大师生参加！

常晋源教授简介

常晋源，西南财经大学光华特聘教授、博士生导师、数据科学与商业智能联合实验室执行主任、国家杰出青年科学基金获得者、四川省特聘专家、四川省统计专家咨询委员会委员。主要从事“超高维数据分析”和“高频金融数据分析”两个领域的研究。

甘肃应用数学中心

甘肃省高校应用数学与复杂系统省级重点实验室

兰州大学大数据科学研究中心

兰州大学数学与统计学院

兰州大学萃英学院

2023年3月3日