【1126期】 4月10日计量经济学学术讲座：On the modelling and prediction of high-dimensional functional time series（常晋源，西南财经大学统计学院，教授）

【主题】On the modelling and prediction of high-dimensional functional time series

【报告人】常晋源，西南财经大学统计学院，教授

【时间】4月10日周一13:30-15:00

【地点】经济学院大楼710会议室

【语言】英文

【摘要】We propose a two-step procedure to model and predict high-dimensional functional time series, where the number of function-valued time series p is large in relation to the length of time series n. Our first step performs an eigenanalysis of a positive definite matrix, which leads to a one-to-one linear transformation for the original high-dimensional functional time series, and the transformed series can be segmented into several groups such that any two series from any two different groups are uncorrelated both contemporaneously and serially. Consequently in our second step those groups are handled separately without the information loss on the overall linear dynamic structure. The second step is devoted to establishing a finite-dimensional dynamical structure for all the functional time series within each group. Furthermore the finite-dimensional structure is represented by that of a vector time series. Modelling and forecasting for the original high-dimensional functional time series are realized via those for the vector time series in all the groups. We investigate the theoretical properties of our proposed methods, and illustrate the finite-sample performance through both extensive simulations and three real datasets.