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Event(s) on April 2008
- 8/4/2008
| 題目: |
Dynamic Semiparametric Factor Modelling with Applications in Energy Pricing, Medicine and Finance |
| 講員: |
Prof. Wolfgang Haerdle, Humboldt University, Germany |
| 時間/地點: |
11:00 - 11:45
FSC 1217
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| 摘要: |
High-dimensional regression problems which reveal dynamic behavior
are typically analyzed by time propagation of a few number of
factors. The inference on the whole system is then based on
the low-dimensional time series analysis. Such high-dimensional
problems occur frequently in many different fields of science.
In this paper we address the problem of inference when the factors
and factor loadings are estimated by semiparametric methods.
This more flexible modelling approach poses an important question:
Is it justified, from inferential point of view, to base statistical
inference on the estimated times series factors? We show that
the difference of the inference based on the estimated time series
and 'true' unobserved time series is asymptotically negligible.
Our results justify fitting vector autoregressive processes to
the estimated factors, which allows one to study the dynamics
of the whole high-dimensional system with a low-dimensional representation.
We illustrate the theory with a simulation study. Also, we apply
the method to a study of the dynamic behavior of implied volatilities
and discuss other possible applications in finanace and economics.
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- 8/4/2008
| 題目: |
The Stochastic Fluctuation of the Quantile Regression Curve |
| 講員: |
Mr. Song Song, Humboldt University, Germany |
| 時間/地點: |
11:45 - 12:30
FSC 1217
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| 摘要: |
Let (X1,Y1), ..., (Xn,Yn) be i.i.d. rvs and let l(x) be the unknown
p-quantile regression curve of Y on X. A quantile-smoother ln(x)
is a localized, nonlinear estimator of l(x). In many applications
it is necessary to know the stochastic fluctuation of the process
{ln(x)−l(x)}. Using strong approximations of the empirical
process and extreme value theory allows us to consider the asymptotic
maximal deviation sup_{0<=x<=1}|ln(x)−l(x)|. The derived result
helps in the construction of a uniform confidence band for the
quantile curve l(x). This confidence band can be applied as a
model check, e.g. in econometrics. The strong uniform consistency
rate is also established under general conditions. An application
considers a labor market discrimination effect.
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