报告题目：Spatial-temporal Model with Heterogeneous Random Effects

报告人：冯兴东（上海财经大学统计与管理学院院长）

时间：2021.6.24, 13:30-14:30

地点：经管学院 335

报告摘要：In this paper, we propose a novel spatial-temporal model withindividual random effects characterized by a location-scale structure, whichallows us to flexibly capture the pure influence of space-specific factors inthe framework of quantile regression. A hybrid two-stage estimation procedureis introduced for this model, where the first stage proposes a Gaussianquasi-maximum likelihood estimator (QMLE) for the spatial-temporal effectswhile the second stage constructs a weighted conditional quantile estimator(WCQE) to study the conditional quantiles of the random effects related tospace-specific attributes. The validity of the two-stage hybrid estimation isverified, and the asymptotic properties of our estimators are established. Oursimulation study indicates that the proposed estimation procedure performs wellin different scenarios with finite samples, and a real case study on the airquality of China is used to illustrate the application of the proposed method.

冯兴东，上海财经大学统计与管理学院院长、统计学教授、博士生导师。研究领域为数据降维、稳健方法、分位数回归以及在经济问题中的应用、大数据统计计算等，在国际顶级统计学期刊JASA、AoS、JRSSB、Biometrika上发表论文多篇。2018年入选国际统计学会推选会员(Elected member)，2019年全国青年统计学家协会副会长，2019年全国统计教材编审委员会第七届委员会专业委员（数据科学与大数据技术应用组），2020年担任国务院学科评议组（统计学）成员。