讲座题目：Long-Range Dependent Curve Time Series

　　报告人：Peter M. Robinson

　　报告时间：2019年3月19日(周二)下午15点30分

　　报告地点：经管院A221

　　主办单位：数理经济与数理金融系

　　主持人：刘成

　　摘要: We introduce methods and theory for functional or curve time series with long range dependence. The temporal sum of the curve process is shown to be asymptotically normally distributed, the conditions for this covering a functional version of fractionally integrated autoregressive moving averages. We also construct an estimate of the long-run covariance function, which we use, via functional principal component analysis, in estimating the orthonormal functions spanning the dominant sub-space of the curves. In a semiparametric context, we propose an estimate of the memory parameter and establish its consistency. A Monte-Carlo study of finite sample performance is included, along with two empirical applications. The first of these finds a degree of stability and persistence in intra-day stock returns. The second finds similarity in the extent of long memory in incremental age-specific fertility rates across some developed nations.

　　简介：Robinson教授来自伦敦政治经济学院，自1995年开始成为该院经济系的Tooke Professor of Economic Science and Statistics，在此前他曾在哈佛大学，英属哥伦比亚大学，萨里大学任教。Robinson教授所获荣誉众多。除了被授予国际统计学会会员，世界计量经济学会会士，国际数理统计学会会士等荣誉称号，他还当选为英国国家学术院院士。Robinson 教授的研究兴趣主要是时间序列，空间计量分析，非参数及半参数统计推断。目前他已发表了近200篇论文于各类经济学和统计学的顶级期刊上，例如经济学五大顶级期刊中的Econometrica (15篇), Review of Economic Studies (3篇),统计学四大顶级期刊中的 Annals of Statistics (17篇), Journal of the Royal Statistical Society, Series B (3篇), Journal of the American Statistical Association (6篇), 此外他还在Journal of Econometrics 上发表了29篇论文，是享誉世界的计量经济学和统计学大师。Robinson教授目前担任Annals of Statistics 和 Statistical Inference for Stochastic Processes的副主编，并且也是Journal of Econometrics的执行委员会成员。在此前他也担任过Econometrica, Journal of Econometrics, Econometric Theory和Journal of Time Series Analysis的联合主编。