主題： Sign-based portmanteau test for ARCH-type models with heavy-tailed innovations
主講人：陳敏教授（中國科學(xué)院數(shù)學(xué)與系統(tǒng)科學(xué)研究院教授）
時(shí)間：2016年2月26日（周五）下午15:00-16:00
地點(diǎn)：北院卓遠(yuǎn)樓305
主辦單位：統(tǒng)計(jì)與數(shù)學(xué)學(xué)院
摘要：This paper proposes a sign-based portmanteau test for diagnostic checking of ARCH-type models estimated by the least absolute deviation approach. Under the strict stationarity condition, the asymptotic distribution is obtained. The new test is applicable for very heavy-tailed innovations with only finite fractional moments. Simulations are undertaken to assess the performance of the sign-based test, as well as a comparison with other two portmanteau tests. A real empirical example for exchange rates is given to illustrate the practical usefulness of the test.
陳敏教授簡介：中國科學(xué)院數(shù)學(xué)與系統(tǒng)科學(xué)研究院研究員, 博士生導(dǎo)師?，F(xiàn)任全國統(tǒng)計(jì)方法應(yīng)用技術(shù)標(biāo)準(zhǔn)化委員會主任委員,《數(shù)理統(tǒng)計(jì)與管理》主編,《應(yīng)用數(shù)學(xué)學(xué)報(bào)（中文版）》副主編,《中醫(yī)藥現(xiàn)代化》編委,。中國數(shù)學(xué)學(xué)會副理事長、中國統(tǒng)計(jì)教育學(xué)會副會長,、北京大數(shù)據(jù)協(xié)會副會長,。曾任中國科學(xué)院數(shù)學(xué)與系統(tǒng)科學(xué)研究院任副院長。
主要研究方向?yàn)椋航鹑诮y(tǒng)計(jì)理論與方法,、非線性時(shí)間序列的統(tǒng)計(jì)分析,，非參數(shù)統(tǒng)計(jì)估計(jì)和檢驗(yàn)的大樣本理論，生物統(tǒng)計(jì)的理論和方法,，應(yīng)用統(tǒng)計(jì)（工業(yè)統(tǒng)計(jì),、統(tǒng)計(jì)標(biāo)準(zhǔn)化、財(cái)稅信息技術(shù)）,。出版和翻譯教材和專著7部,；在國內(nèi)外核心學(xué)術(shù)期刊發(fā)表統(tǒng)計(jì)理論與應(yīng)用、經(jīng)濟(jì),、金融和管理科學(xué)論文100余篇,，其中SCI和IE論文60余篇。BY MIN CHEN
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