报告题目：Testing alpha in high dimensional linear factor pricing models with dependent observations
报 告 人：冯龙 教授 南开大学
报告时间：2024年6月19日 15:00-16:00
报告地点：数学楼第2报告厅
校内联系人：朱复康 fzhu@jlu.edu.cn
报告摘要：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.
报告人简介：冯龙现任南开大学统计与数据科学学院教授、特聘研究员、博士生导师。入选教育部青年人才计划、南开大学百名青年学科带头人。曾获得教育部学术新人奖，南开大学优秀博士论文奖。主要从事高维数据分析方面的研究，在统计学国际顶尖杂志JRSSB, JASA、Biometrika、Annals of Statistics、JOE、JBES等发表40余篇论文。主持一项天津市杰出青年基金、国家自然科学基金面上项目和青年项目。
