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On some inference problems in high-dimensional factor models
澳门新葡8455最新网站:2013年06月13日 00:00 点击数:

报告人:Jianfeng Yao

报告地点:澳门新葡8455最新网站501室

报告澳门新葡8455最新网站:2013年06月14日星期五16:00-17:00

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报告摘要:

We consider a strict factor model with high-dimensional observations and a relatively small number of factors. Firstly, I will report some new results on the problem of determination of the number of factors including a new method we devised recently. Next, we consider the goodness-of-fit test and derive new asymptotic distribution for the LR statistic. Our approach is entirely based on recent advancement in the theory of random matrices, in particular those related to the eigenvalues distribution of a large and spiked sample covariance matrices. Further questions on these problems will also be discussed.

主讲人概况:

Associate Professor of The University of Hong Kong.

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