上海海事大学滴水湖经济与管理论坛第163期:Spatial-temporal Model with Heterogeneous Random Effects
2021年06月16日

报告题目:Spatial-temporal Model with Heterogeneous Random Effects

报告人:冯兴东(上海财经大学统计与管理学院院长)

时间:2021.6.24, 13:30-14:30

地点:经管学院 335

 

报告摘要: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.

 

冯兴东,上海财经大学统计与管理学院院长、统计学教授、博士生导师。研究领域为数据降维、稳健方法、分位数回归以及在经济问题中的应用、大数据统计计算等,在国际顶级统计学期刊JASA、AoS、JRSSB、Biometrika上发表论文多篇。2018年入选国际统计学会推选会员(Elected member),2019年全国青年统计学家协会副会长,2019年全国统计教材编审委员会第七届委员会专业委员(数据科学与大数据技术应用组),2020年担任国务院学科评议组(统计学)成员。


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