kaiyun開云官方網(wǎng)站“創(chuàng)源”大講堂研究生學(xué)術(shù)講座海報(bào)

講座題目：Sublinear expectation linear regression

報(bào)告人：林路教授，山東大學(xué)kaiyun開云官方網(wǎng)站

主持人：    鄭海濤教授
講座時(shí)間：  2013年11月8日上午10:30am-11:30am

講座地點(diǎn)：  九里校區(qū)電氣館3215

內(nèi)容簡(jiǎn)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.

報(bào)告人簡(jiǎn)介：林路教授，山東大學(xué)金融研究院副院長(zhǎng)。學(xué)術(shù)領(lǐng)域覆蓋Nonparametric Statistics; Robust Statistics; Statistical Depth; Quasi-Likelihood and Empirical Likelihood; Financial Statistics and Statistics in F-BSDE; High dimensional Models，現(xiàn)已發(fā)表60多篇高水平論文，其中多數(shù)為SCI論文。主持或完成3項(xiàng)國(guó)家自然科學(xué)基金和多項(xiàng)省部級(jí)項(xiàng)目。曾多次訪問(wèn)北美和歐洲高水平大學(xué)和研究機(jī)構(gòu)。 

主辦：研究生院
承辦：kaiyun開云官方網(wǎng)站