新葡萄8883官网AMG“创源”大讲堂研究生学术讲座海报
讲座题目：Sublinear
expectation linear regression
报告人：林路教授，山东大学新葡萄8883官网AMG
主持人： 郑海涛教授
讲座时间： 2013年11月8日上午10:30am-11:30am
讲座地点： 九里校区电气馆3215
内容简介：Nonlinear
expectation, including sublinear expectation as its special case, is a new and
original framework of probability theory and has potential applications in some
scientific fields, especially in finance risk measure and econometrics. Under
the nonlinear expectation framework, however, the related statistical models
and statistical inferences have not yet been well established. The goal of this
paper is to construct the sublinear expectation regression and investigate its
statistical inference. First, a sublinear expectation linear regression is
defined and its identifiability is given. Then, based on the representation
theorem of sublinear expectation and the newly defined model, several parameter
estimations and model predictions are suggested, the asymptotic normality of
estimations and the mini-max property of predictions are obtained. Furthermore,
new methods are developed to realize variable selection for high-dimensional
model. Finally, simulation studies and a real financial example are carried out
to illustrate the new models and methodologies.
All notions and methodologies developed are essentially different from
classical ones and can be thought of as a foundation for general nonlinear
expectation statistics.
报告人简介：林路教授，山东大学金融研究院副院长。学术领域覆盖Nonparametric
Statistics; Robust Statistics; Statistical Depth; Quasi-Likelihood and
Empirical Likelihood; Financial Statistics and Statistics in F-BSDE; High
dimensional Models，现已发表60多篇高水平论文，其中多数为SCI论文。主持或完成3项国家自然科学基金和多项省部级项目。曾多次访问北美和欧洲高水平大学和研究机构。
主办：研究生院
承办：新葡萄8883官网AMG
