江南体育官网

荔园学者Colloquium第七十期

讲座题目: Estimation of Financial Network by Frequentist Model Averaging

主讲人：张新雨 教授（中科院数学与系统科学研究院）

报告时间：2024年1月9日 下午16:00-17:00

讲座地点：深圳大学粤海校区汇星楼一楼一号教室

内容概述：Advances in information technologies have made network data increasingly frequent in economics and finance. To estimate the financial network, we propose an optimal model averaging method for directed acyclic Gaussian graphs. With a set of candidate models varying by graph structures, we average estimates from candidate models using weights that minimize a penalized negative log-likelihood criterion. We not only build the asymptotic optimality, weight convergence and parameter consistency for the proposed method, but also, we clarify the impact of different models on the convergence rate and prove the parameter consistency under misspecified candidate graph models. Results of simulation studies and a real-data analysis on banks’international liability data show the promise of the proposed method.

主讲人简介：张新雨，中科院数学与系统科学研究院研究员。主要从事计量经济学和统计学的理论和应用研究工作，具体研究方向包括模型平均、管理统计、机器学习和经济预测等，担任SCI期刊《Journal of Systems Science & Complexity (JSSC)》领域主编和其他5个国内外重要期刊的编委。先后获得青托、优青、杰青和中国青年科技奖等项目支持或奖励。

欢迎师生参加！

邀请人：江南体育官网（周彦）

江南体育官网

2024年1月4日