学术报告

Nonlinear Dynamic Spatio-Temporal Modelling and Its Applications-Zudi Lu (University of Southampton)

题目:Nonlinear Dynamic Spatio-Temporal Modelling and Its Applications

报告人:Zudi Lu (University of Southampton)

摘要:Nonlinear dynamic modelling of spatio-temporal data is often a challenge, especially due to irregularly observed locations and location-wide non-stationarity. This talk is based on several of my recent publications, in particular focusing on a paper recently accepted by JASA, co-authored with Xiaohang Ren and Rongmao Zhang. We propose a semiparametric family of Dynamic Functional-coefficient Autoregressive Spatio-Temporal (DyFAST) models to address the difficulties. We specify the autoregressive smoothing coefficients depending dynamically on both a concerned regime and location so that the models can characterise not only the dynamic regime-switching nature but also the location-wide non-stationarity in real data. Different smoothing schemes are then proposed to model the dynamic neighbouring-time interaction effects with irregular locations incorporated by (spatial) weight matrices. The first scheme popular in econometrics supposes that the weight matrix is pre-specified. We show that a greedy idea for locally optimal modelling popular in machine learning should be cautiously applied. Moreover, many weight

matrices can be generated differently by data location features. Model selection is popular, but may suffer from loss of different candidate features. Our second scheme is thus to suggest a weight matrix fusion to let data combine or select the candidates with estimation done simultaneously. Both theoretical properties and Monte Carlo simulations are investigated. The empirical application to an EU energy market dataset further demonstrates the usefulness of our DyFAST models.

报告人简介:

卢祖帝,英国南安普顿大学数学科学学院和南安普顿统计科学研究所的终身讲席教授(Chair in Statistics)、博士生导师。他目前的主要研究兴趣为非线性时间序列分析、金融统计和计量经济学、非线性时空数据分析等,是国际上非线性时空数据统计学的主要研究者和倡导者之一。卢祖帝教授分别于 1991 年和 1996 年获中国科学院系统科学研究所硕士和博士学位,先后获得中国国家自然科学重点基金、澳大利亚国家研究理事会未来研究杰出青年基金项目和欧盟居里夫人研究基金项目及多项面上项目的资助,已在国际统计学和计量经济学的主要杂志包括 Ann. Statist., JASA, JRSS-B, JoE, ET 等发表 100 余篇学术论文。他是国际统计学会当选会员,担任多个国际重要期刊和国内期刊的副主编、高级编辑和编委。

报告时间:2023年9 月 8 日(周五)上午 10:30-11:30

报告地点:教二楼 701 教室

联系人:邹国华