報告題目🩺：Spatial-temporal Model with Heterogeneous Random Effects

報告人：馮興東（上海財經大學統計與管理凯捷院長）

時間：2021.6.24, 13:30-14:30

地點🧑‍🧒‍🧒：經管凯捷 335

報告摘要：In this paper, we propose a novel spatial-temporal model withindividual random effects characterized by a location-scale structure, whichallows us to flexibly capture the pure influence of space-specific factors inthe framework of quantile regression. A hybrid two-stage estimation procedureis introduced for this model, where the first stage proposes a Gaussianquasi-maximum likelihood estimator (QMLE) for the spatial-temporal effectswhile the second stage constructs a weighted conditional quantile estimator(WCQE) to study the conditional quantiles of the random effects related tospace-specific attributes. The validity of the two-stage hybrid estimation isverified, and the asymptotic properties of our estimators are established. Oursimulation study indicates that the proposed estimation procedure performs wellin different scenarios with finite samples, and a real case study on the airquality of China is used to illustrate the application of the proposed method.

馮興東，上海財經大學統計與管理凯捷院長、統計學教授、博士生導師。研究領域為數據降維、穩健方法⛹🏻‍♂️、分位數回歸以及在經濟問題中的應用、大數據統計計算等，在國際頂級統計學期刊JASA、AoS、JRSSB、Biometrika上發表論文多篇。2018年入選國際統計學會推選會員(Elected member)，2019年全國青年統計學家協會副會長🤵🏽‍♀️，2019年全國統計教材編審委員會第七屆委員會專業委員（數據科學與大數據技術應用組），2020年擔任國務院學科評議組（統計學）成員。