关于新加坡南洋理工大学潘光明教授来校讲学的预告

作者: 时间:2023-06-07 点击数:10


应数学与计算科学学院、广西应用数学中心(沙巴足球(中国)股份有限公司官网)及广西高校数据分析与计算重点实验室邀请,新加坡南洋理工大学潘光明教授将于202367日来校讲学,欢迎全校师生踊跃参加。报告具体安排如下:

报告题目Factor Modelling for Clustering High-dimensional Time Series

时间:202367日(周三)下午1600

地点:金鸡岭校区图书馆3305会议室

 

报告摘要:

We propose a new unsupervised learning method for clustering a large number of time series based on a latent factor structure. Each cluster is characterized by its own cluster-specific factors in addition to some common factors which impact on all the time series concerned. Our setting also offers the flexibility that some time series may not belong to any clusters. The consistency with explicit convergence rates is established for the estimation of the common factors, the cluster-specific factors, and the latent clusters. Numerical illustration with both simulated data as well as a real data example is also reported. As a spin-off, the proposed new approach also advances significantly the statistical inference for the factor model of Lam and Yao (2012). This is a joint work with B. Zhang, Q. W. Yao and W. Zhou.

 

主讲人简介:

  潘光明,新加坡南洋理工大学教授。20057月博士毕业于中国科学技术大学,自2008年以来,在新加坡南洋理工大学工作。研究领域包括高维统计推断、随机矩阵理论、多元统计、应用概率等,至今在统计学和概率论的顶级杂志,如: Annals of Statistics, Journal of American Statistical Association, Journal of Royal Statistical SocietyB, Annals of Probability》、《Annals of Applied Probability》、《Bernoulli, IEEE. TRANS. Inform. Theory, IEEE. Trans. Signal. Proc. 等上发表论文60余篇。现为国际统计学会会员(Elected Member of International Statistical Institute)。担任《Random Matrices: Theory and Applications》杂志编委。

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