Group Structure Detection for Highdimensional Panel Date Model

朱仲义，复旦大学

<p>&nbsp;This paper investigates the latent group structures in ultra high-dimensional panel data model. It is assumed that the individuals form unobserved groups, where the individual effects are the same within a group but heterogeneous across different groups. A penalized regression approach is proposed to identify the latent group structures and the important covariates simultaneously. A new ADMM-CD algorithm is proposed to optimize the objective function. When the sample sizes go to infinity, it is shown that the proposed estimator recovers the latent group structures and the important covariates in probability approaching one. The finite sample performance of the proposed estimator is evaluated through Monte Carlo studies and illustrated with a real data set</p>

2017-04-20(Thursday)16:40-18:00

N302, Econ Building

中文

SOE&WISE

统计系

系列讲座

钟威

<p>&nbsp;<span style="font-size: 11pt; line-height: 150%; font-family: 宋体; background-image: initial; background-attachment: initial; background-size: initial; background-origin: initial; background-clip: initial; background-position: initial; background-repeat: initial;">朱仲义，复旦大学统计系教授，博士研究生导师；曾任中国概率统计学会第八、九届副理事长</span><span lang="EN-US" style="font-size: 11pt; line-height: 150%; font-family: 'Times New Roman', serif; background-image: initial; background-attachment: initial; background-size: initial; background-origin: initial; background-clip: initial; background-position: initial; background-repeat: initial;">,</span><span style="font-size: 11pt; line-height: 150%; font-family: 宋体; background-image: initial; background-attachment: initial; background-size: initial; background-origin: initial; background-clip: initial; background-position: initial; background-repeat: initial;">国际著名杂志&rdquo;</span><span lang="EN-US" style="font-size: 11pt; line-height: 150%; font-family: 'Times New Roman', serif; background-image: initial; background-attachment: initial; background-size: initial; background-origin: initial; background-clip: initial; background-position: initial; background-repeat: initial;">Statistica Sinica</span><span style="font-size: 11pt; line-height: 150%; font-family: 宋体; background-image: initial; background-attachment: initial; background-size: initial; background-origin: initial; background-clip: initial; background-position: initial; background-repeat: initial;">&rdquo;的</span><span style="font-size: 11pt; line-height: 150%; font-family: 'Times New Roman', serif; background-image: initial; background-attachment: initial; background-size: initial; background-origin: initial; background-clip: initial; background-position: initial; background-repeat: initial;"> </span><span style="font-size: 11pt; line-height: 150%; font-family: 宋体; background-image: initial; background-attachment: initial; background-size: initial; background-origin: initial; background-clip: initial; background-position: initial; background-repeat: initial;">副主编</span><span lang="EN-US" style="font-size: 11pt; line-height: 150%; font-family: 'Times New Roman', serif; background-image: initial; background-attachment: initial; background-size: initial; background-origin: initial; background-clip: initial; background-position: initial; background-repeat: initial;">;</span><span style="font-size: 11pt; line-height: 150%; font-family: 宋体; background-image: initial; background-attachment: initial; background-size: initial; background-origin: initial; background-clip: initial; background-position: initial; background-repeat: initial;">现任&ldquo;应用概率统计&rdquo;</span><span lang="EN-US" style="font-size: 11pt; line-height: 150%; font-family: 'Times New Roman', serif; background-image: initial; background-attachment: initial; background-size: initial; background-origin: initial; background-clip: initial; background-position: initial; background-repeat: initial;">,</span><span style="font-size: 11pt; line-height: 150%; font-family: 宋体; background-image: initial; background-attachment: initial; background-size: initial; background-origin: initial; background-clip: initial; background-position: initial; background-repeat: initial;">&rdquo;数理统计与管理&rdquo;杂志编委</span><span lang="EN-US" style="font-size: 11pt; line-height: 150%; font-family: 'Times New Roman', serif; background-image: initial; background-attachment: initial; background-size: initial; background-origin: initial; background-clip: initial; background-position: initial; background-repeat: initial;">,</span><span style="font-size: 11pt; line-height: 150%; font-family: 宋体; background-image: initial; background-attachment: initial; background-size: initial; background-origin: initial; background-clip: initial; background-position: initial; background-repeat: initial;">中国现场统计研究会常务理事</span><span lang="EN-US" style="font-size: 11pt; line-height: 150%; font-family: 'Times New Roman', serif; background-image: initial; background-attachment: initial; background-size: initial; background-origin: initial; background-clip: initial; background-position: initial; background-repeat: initial;">,</span><span style="font-size: 11pt; line-height: 150%; font-family: 宋体; background-image: initial; background-attachment: initial; background-size: initial; background-origin: initial; background-clip: initial; background-position: initial; background-repeat: initial;">中国统计教材编审委员会委员。专业研究方向为：保险精算；纵向数据</span><span lang="EN-US" style="font-size: 11pt; line-height: 150%; font-family: 'Times New Roman', serif; background-image: initial; background-attachment: initial; background-size: initial; background-origin: initial; background-clip: initial; background-position: initial; background-repeat: initial;">(</span><span style="font-size: 11pt; line-height: 150%; font-family: 宋体; background-image: initial; background-attachment: initial; background-size: initial; background-origin: initial; background-clip: initial; background-position: initial; background-repeat: initial;">面板数据</span><span lang="EN-US" style="font-size: 11pt; line-height: 150%; font-family: 'Times New Roman', serif; background-image: initial; background-attachment: initial; background-size: initial; background-origin: initial; background-clip: initial; background-position: initial; background-repeat: initial;">)</span><span style="font-size: 11pt; line-height: 150%; font-family: 宋体; background-image: initial; background-attachment: initial; background-size: initial; background-origin: initial; background-clip: initial; background-position: initial; background-repeat: initial;">模型；分位数回归模型等。主持完成国家自然科学基金四项、国家社会科学基金一项，作为子项目负责人完成国家自然科学基金重点项目一项。目前主持国家自然科学基金一项</span><span lang="EN-US" style="font-size: 11pt; line-height: 150%; font-family: 'Times New Roman', serif; background-image: initial; background-attachment: initial; background-size: initial; background-origin: initial; background-clip: initial; background-position: initial; background-repeat: initial;">.</span><span style="font-size: 11pt; line-height: 150%; font-family: 宋体; background-image: initial; background-attachment: initial; background-size: initial; background-origin: initial; background-clip: initial; background-position: initial; background-repeat: initial;">近几年发表论文</span><span lang="EN-US" style="font-size: 11pt; line-height: 150%; font-family: 'Times New Roman', serif; background-image: initial; background-attachment: initial; background-size: initial; background-origin: initial; background-clip: initial; background-position: initial; background-repeat: initial;">90</span><span style="font-size: 11pt; line-height: 150%; font-family: 宋体; background-image: initial; background-attachment: initial; background-size: initial; background-origin: initial; background-clip: initial; background-position: initial; background-repeat: initial;">多篇</span><span lang="EN-US" style="font-size: 11pt; line-height: 150%; font-family: 'Times New Roman', serif; background-image: initial; background-attachment: initial; background-size: initial; background-origin: initial; background-clip: initial; background-position: initial; background-repeat: initial;">(</span><span style="font-size: 11pt; line-height: 150%; font-family: 宋体; background-image: initial; background-attachment: initial; background-size: initial; background-origin: initial; background-clip: initial; background-position: initial; background-repeat: initial;">其中包括在国际顶级刊物：</span><span lang="EN-US" style="font-size: 11pt; line-height: 150%; font-family: 'Times New Roman', serif; background-image: initial; background-attachment: initial; background-size: initial; background-origin: initial; background-clip: initial; background-position: initial; background-repeat: initial;">J.R.Stat.Soc B, J.A.S.A., Ann. Statist. </span><span style="font-size: 11pt; line-height: 150%; font-family: 宋体; background-image: initial; background-attachment: initial; background-size: initial; background-origin: initial; background-clip: initial; background-position: initial; background-repeat: initial;">和</span><span lang="EN-US" style="font-size: 11pt; line-height: 150%; font-family: 'Times New Roman', serif; background-image: initial; background-attachment: initial; background-size: initial; background-origin: initial; background-clip: initial; background-position: initial; background-repeat: initial;">Biometrika</span><span style="font-size: 11pt; line-height: 150%; font-family: 宋体; background-image: initial; background-attachment: initial; background-size: initial; background-origin: initial; background-clip: initial; background-position: initial; background-repeat: initial;">等</span><span lang="EN-US" style="font-size: 11pt; line-height: 150%; font-family: 'Times New Roman', serif; background-image: initial; background-attachment: initial; background-size: initial; background-origin: initial; background-clip: initial; background-position: initial; background-repeat: initial;">SCI</span><span style="font-size: 11pt; line-height: 150%; font-family: 宋体; background-image: initial; background-attachment: initial; background-size: initial; background-origin: initial; background-clip: initial; background-position: initial; background-repeat: initial;">论文五十多篇</span><span lang="EN-US" style="font-size: 11pt; line-height: 150%; font-family: 'Times New Roman', serif; background-image: initial; background-attachment: initial; background-size: initial; background-origin: initial; background-clip: initial; background-position: initial; background-repeat: initial;">)</span><span style="font-size: 11pt; line-height: 150%; font-family: 宋体; background-image: initial; background-attachment: initial; background-size: initial; background-origin: initial; background-clip: initial; background-position: initial; background-repeat: initial;">。作为第一完成人研究成果获得教育部自然科学二等奖一次。</span></p> <p class="MsoNormal" style="margin-bottom:6.0pt;mso-para-margin-bottom:.5gd;line-height:150%"><span lang="EN-US" style="font-size: 11pt; line-height: 150%; font-family: 'Times New Roman', serif; background-image: initial; background-attachment: initial; background-size: initial; background-origin: initial; background-clip: initial; background-position: initial; background-repeat: initial;"><o:p></o:p></span></p>

厦门大学高级计量经济学与统计学系列讲座2017春季学期第5讲（总第93讲）