讲座题目：Spatial-temporal Model with Heterogeneous Random Effects

主讲人：冯兴东教授 上海财经大学

讲座时间：2022年4月13日下午2点

讲座地点：腾讯会议：851 813 567

主讲人简介：

  冯兴东，上海财经大学统计与管理学院经理、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、强化学习等，在国际顶级统计学期刊Journal of the American Statistical Association、Annals of Statistics、Journal of the Royal Statistical Society-Series B、Biometrika以及人工智能顶会NeurIPS上发表论文多篇。2018年入选国际统计学会推选会员(Elected member)，2019年担任全国青年统计学家协会副会长以及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年担任第八届国务院学科评议组（统计学）成员，2022年担任全国应用统计专业硕士教指委委员，兼任国际统计学权威期刊Annals of Applied Statistics编委（Associate Editor）以及国内统计学权威期刊《统计研究》编委。

主讲内容：

  In this paper, we propose a novel spatial-temporal model with individual random effects characterized by a location-scale structure, which allows us to flexibly capture the pure influence of space-specific factors in the framework of quantile regression.

  A hybrid two-stage estimation procedure is introduced for this model, where the first stage proposes a Gaussian quasi-maximum likelihood estimator (QMLE) for the spatial-temporal effects while the second stage constructs a weighted conditional quantile estimator (WCQE) to study the conditional quantiles of the random effects related to space-specific attributes.

  The validity of the two-stage hybrid estimation is verified, and the asymptotic properties of our estimators are established.

  Our simulation study indicates that the proposed estimation procedure performs well in different scenarios with finite samples, and a real case study on the air quality of China is used to illustrate the application of the proposed method.