報告題目：Conditional-mean multiplicative operator models for count time series
報告專家：朱復康教授
報告地點：9-122會議室
報告時間：2024年3月28日（周四）上午10:00-11:00
報告摘要：Multiplicative error models (MEMs) are commonly used for real-valued time series, but they cannot be applied to discrete-valued count time series as the involved multiplication would not preserve the integer nature of the data. Thus, the concept of a multiplicative operator for counts is proposed (as well as several specific instances thereof), which are then used to develop a kind of MEMs for count time series (CMEMs). If equipped with a linear conditional mean, the resulting CMEMs are closely related to the class of so-called integer-valued generalized autoregressive conditional heteroscedasticity (INGARCH) models and might be used as a semi-parametric extension thereof. Important stochastic properties of different types of INGARCH-CMEM as well as relevant estimation approaches are derived, namely types of quasi-maximum likelihood and weighted least squares estimation. The performance and application are demonstrated with simulations as well as with two real-world data examples.
報告人簡介：朱復康，吉林大學數學學院教授、博士生導師，吉林國家應用數學中心副主任、院長助理、概率統計與數據科學系主任。2008年博士畢業，2013年破格晉升教授，2021年任唐敖慶領軍教授。主要從事時間序列分析和金融統計的研究，已經在Annals of Applied Statistics、Journal of Business & Economic Statistics、Statistica Sinica、中國科學-數學等期刊上發表論文多篇，主持國家自然科學基金面上項目3項和青年基金1項，曾獲得教育部自然科學獎二等獎、吉林省科學技術獎二等獎、長春市有突出貢獻專家等獎勵，入選美國斯坦福大學發布的全球前2%頂尖科學獎榜單。現任中國現場統計研究會、全國工業統計學教學研究會、中國數學會概率統計分會等學會的理事或常務理事，現任SCI期刊Statistical Papers的Associate Editor，是JRSSB、JBES、AoAS等80余個SCI期刊的匿名審稿人。
作者：佘緯；編輯：劉鹍；審核：郭暉；上傳：郭敏。
