报告人：Cui Hengjian (崔恒建教授，首都师范大学)

报告题目：Projection Test for High Dimensional Spiked Covariance Matrix

报告摘要：Testing the existence of a low-dimensional perturbations or signals is very important in statistical theory and application like factor analysis and signal processing. This paper aims to develop a new test for high dimensional spiked covariance matrix based on projection approach. The asymptotic distributions of the proposed test are obtained under some regular conditions. We further explore the power enhancement technique if we have additional information that the covariance matrix is somewhat sparse. We assess the finite sample performance of the proposed test by examining its size and power via Monte Carlo simulations, which show that the proposed test achieves much more power. A dataset of 97 stocks is studied using the proposed test.

报告人简介：现为首都师范大学教授，博士生导师，曾任国务院学位委员会学科评议组专家。在数理统计和稳健统计理论和方法、金融统计、遥感统计与质量管理等领域取得过许多杰出的研究成果，发表论文120余篇，其中包括发表在国际顶级的统计和计量经济学杂志《Journal of the American Statistical Association》、《Annals of Statistics》、《Journal of the Royal Statistical Society》、《Biometrika》和《Journal of Econometrics》上。、主持了国家自然科学基金杰青（B）项目和4项国家自然科学基金面上项目以及青年基金项目；主要参加了国家自然科学基金重点项目、主任基金项目、面上项目，教育部重大科研基金项目，科技部863项目，教育部留学回国人员基金，高校博士点专项基金等15余项。

报告时间：2017年12月15日（星期五）下午4：15- 5：00.

报告地点：科技楼南楼715