应兰州大学数学与统计学院李周平教授邀请，南京审计大学统计与数据科学学院孔新兵教授将于2021年7月2日至7月3日访问我校，期间将举办专题学术报告。

报告题目：Learning Quantile Factors for Large-dimensional Time Series with Statistical Guarantee

报告时间：7月2日（星期五）下午4：00

报告地点：理工楼631报告厅

摘 要：Quantile is an important measure in risk control in finance and quality assessment in service industry. In this paper, we model the temporal and cross-sectional interactive effect of the quantiles of a large-dimensional time series by a latent quantile factor model. The factor loadings and scores are learnt with statistical guarantee via an iterative check-loss-minimization procedure. Without any moment constraint on the idiosyncratic errors, we correctly identify the common and idiosyncratic components for each variable. We obtained the statistical convergence rates of the minimization estimators. Bahardur representations for the estimated factor loadings and scores are provided under some mild conditions. Moreover, a robust method is proposed to select the number of factors consistently. Simulation experiments checked the validity of the theory. Our analysis on a financial data set shows the superiority of the proposed method over other state-of-the-art methods.

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孔新兵教授简介

孔新兵，南京审计大学统计与数据科学学院教授、院长；国际统计协会(ISI)当选会员；获2012年度香港数学会“最佳博士论文奖”；主要研究兴趣为高频数据分析、髙维因子分析和经济金融计量分析；担任Random Matrices-Theory and Application和《应用概率统计》编委；中国现场统计研究会多个分会常务理事；在统计学顶级期刊JASA、AoS、Biometrika、JoE发表论文16篇，独立发表AoS、Biometrika 3篇；主持国家基金项目4项。入选国家高层次青年人才计划。

甘肃应用数学中心

兰州大学大数据科学研究中心

萃英学院

甘肃省高校应用数学与复杂系统省级重点实验室

数学与统计学院

二〇二一年七月一日