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学术报告:Adaptive semiparametric estimation for single index models with jumps

编辑:    发布时间:2020-11-02    次点击


报告人:林金官教授    南京审计大学

时间:2020年11月6日上午10:30-12:30

地点:数学与信息学院201报告厅


摘要:The single index model is one of the most popular semiparametric models in applied quantitative sciences. This paper studies a single index model with unknown jumps (SIMJ) that occur in the link function. An adaptive semiparametric estimation procedure is proposed for estimating the index coefficient and link function. The asymptotic normality of the resulting estimators for both the parametric and nonparametric parts can be established under some mild conditions and without specifying the error distribution. We show that the resulting estimators are robust and efficient for different error distributions. In particular, a modified EM algorithm is developed to implement the adaptive semiparametric estimation in practice. Numerical simulations and real data analysis are conducted to illustrate the finite sample performance of the proposed approach.


报告人简介:

  林金官亚博体彩平台_赌博_官方网站亚博体彩平台_赌博_官方网站,男亚博体彩平台_赌博_官方网站亚博体彩平台_赌博_官方网站,南京审计大学统计学教授亚博体彩平台_赌博_官方网站亚博体彩平台_赌博_官方网站、博士生导师,统计科学与大数据研究院院长亚博体彩平台_赌博_官方网站。现主要从事非线性统计亚博体彩平台_赌博_官方网站、计量经济亚博体彩平台_赌博_官方网站亚博体彩平台_赌博_官方网站、金融统计与风险度量、统计诊断亚博体彩平台_赌博_官方网站、面板数据分析和统计应用等方面的研究工作亚博体彩平台_赌博_官方网站亚博体彩平台_赌博_官方网站亚博体彩平台_赌博_官方网站。2000年以来,在国内外核心期刊上发表论文一百余篇,其中SCI亚博体彩平台_赌博_官方网站亚博体彩平台_赌博_官方网站亚博体彩平台_赌博_官方网站、SSCI收录论文八十余篇亚博体彩平台_赌博_官方网站亚博体彩平台_赌博_官方网站亚博体彩平台_赌博_官方网站。荣获第十一届全国统计科研优秀成果奖二等奖亚博体彩平台_赌博_官方网站,第十二届江苏省统计科研优秀成果奖二等奖,等等亚博体彩平台_赌博_官方网站亚博体彩平台_赌博_官方网站。主要兼职:教育部统计学类教学指导委员会委员亚博体彩平台_赌博_官方网站;中国工程概率统计学会副理事长;江苏省概率统计学会理事长亚博体彩平台_赌博_官方网站亚博体彩平台_赌博_官方网站亚博体彩平台_赌博_官方网站;江苏省现场统计研究会副理事长亚博体彩平台_赌博_官方网站;中文核心期刊《应用概率统计》亚博体彩平台_赌博_官方网站、《数理统计与管理》杂志编委等亚博体彩平台_赌博_官方网站亚博体彩平台_赌博_官方网站。


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