爱情岛论坛 学术报告[2025] 048号

(高水平大学建设系列报告1070号)

报告题目: White Noise Test for The Number of Factors in A Two-Way Factor Model of High-Dimensional Matrix-Variate Time Series

报告人：夏强 教授（华南农业大学）

报告时间：2025年6月25日下午15：30-16：30

讲座地点：线上腾讯会议：208-253-748

报告内容：This paper introduces a novel two-way factor model for analyzing high-dimensional matrix-variate time series. To estimate the number of factors in this two-way factor model, we decompose the series into two parts: one being a non-weakly correlated series and the other being a weakly correlated noise. By comparing the difference between two series, we can construct white-noise based signal statistics to determine the number of factors in row loading matrix (column loading matrix). Furthermore, to mitigate the negative impact on the accuracy of the estimation, which is caused by the interaction between the row loading matrix and the column loading matrix, we propose a transformation so that the transformed model only contains the row loading matrix (column loading matrix). We define sequences of ratios of two test statistics as signal statistics to determine the number of factors and derive the consistence of the estimation. We implement numerical studies to examine the performance of the new methods.

报告人简介：夏强，教授，博士生导师，现为华南农业大学数学与信息学院、软件学院副院长。主要从事时间序列分析和高维数据分析的研究，已经在mBio、Statistica Sinica、JTSA、CSDA、中国科学《数学》等国内外学术期刊上发表40余篇，科学出版社出版专著1部斯普林格出版社出版专著的一个章节。近年来主持国家自然科学基金重大研究计划培育项目，国家自然科学基金面上项目，国家社科基金青年项目各1项。目前担任美国数学评论评论员；广东省统计学会常务理事；广东省现场统计学会副理事长。

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