报告题目：Local Average Estimation and Inferences for Varying Coefficient Models

报 告 人：彭衡教授（香港浸会大学）

报告时间：2018年11月2日 10:00-11:00

报告地点：数统院307学术报告厅

报告摘要：

The varying coefficient model is very popular in the application of finance, economics, medical science and many other areas, but the estimation and inference process are quite compute-intensive. This paper presents a local average method to reduce the computation burden. The estimation for the varying coefficients is discussed and is extended to the partially linear varying coefficient model. Furthermore, three tests are brought out to check whether certain coefficient is constant or even significant. The proposed tests are very easy to implement and their asymptotically distributions under null hypothesis have been deduced. Simulations and real data application are also studied to illustrate the local average method.

报告人简介：

彭衡，博士，香港浸会大学数学系副教授，香港浸会大学深圳研究院研究员，国际统计研究院当选会员，数理统计研究所终生会员。主要从事非参数与半参数模型、模型选择、高维数据建模、混合模型等领域的研究，在Annals of Statistics、JASA、Biometrika等国际著名统计学杂志发表40余篇高质量论文。担任国际期刊Statistica Sinica、Computational Statistics & Data Analysis的副主编，主持完成多项美国自然科学基金、香港研资局、国家自然科学基金。