報告題目：Testing alpha in high dimensional linear factor pricing models with dependent observations
報 告 人：馮龍 教授 南開大學
報告時間：2024年6月19日 15:00-16:00
報告地點：數學樓第2報告廳
校内聯系人：朱複康 fzhu@jlu.edu.cn
報告摘要：In this study, we introduce three distinct testing methods for testing alpha in high dimensional linear factor pricing model that deals with dependent data. The first method is a sum-type test procedure, which exhibits high performance when dealing with dense alternatives. The second method is a max-type test procedure, which is particularly effective for sparse alternatives. For a broader range of alternatives, we suggest a Cauchy combination test procedure. This is predicated on the asymptotic independence of the sum-type and max-type test statistics. Both simulation studies and practical data application demonstrate the effectiveness of our proposed methods when handling dependent observations.
報告人簡介：馮龍現任南開大學統計與數據科學學院教授、特聘研究員、博士生導師。入選教育部青年人才計劃、南開大學百名青年學科帶頭人。曾獲得教育部學術新人獎，南開大學優秀博士論文獎。主要從事高維數據分析方面的研究，在統計學國際頂尖雜志JRSSB, JASA、Biometrika、Annals of Statistics、JOE、JBES等發表40餘篇論文。主持一項天津市傑出青年基金、國家自然科學基金面上項目和青年項目。
