题 目：Inference for factor models with infinite variance innovations

主讲人：刘其梦博士

时 间：2022年5月19日（周四）13：30-14：30

地 点：6号学院楼500会议室

主办单位：yh86银河国际 浙江省2011“数据科学与大数据分析协同创新中心”

摘要：

This paper develops an inferential theory for factor models with infinite variance innovations. We first establish the convergence rate for the factor estimates that will allow for consistent estimation of the number of factor (r). We then propose a method and show that the number of factors can be consistently estimated using the method.The theory is developed within the framework of large cross sections (N) and large time dimensions (T).

主讲人简介：

刘其梦，浙江大学概率论与数理统计博士，研究方向时间序列分析。近几年已发表SCI等学术论文5篇。

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