应数学学院概率统计与运筹控制系主任田波平教授的邀请，清华大学杨立坚教授将于近日来访我校并做报告，欢迎感兴趣的师生参加。报告详情如下：

报告题目：Statistical inference for functional time series: autocovariance function

报告摘要：Statistical inference for functional time series is investigated by extending the classic concept of autocovariance function (ACF) to functional ACF (FACF). It is established that for functional moving average (FMA) data, the FMA order can be determined as the highest nonvanishing order of FACF, just as in classic time series analysis. A two-step estimator is proposed for FACF, the first step involving simultaneous B-spline estimation of each time trajectory and the second step plug-in estimation of FACF by using the estimated trajectories in place of the latent true curves. Under simple and mild assumptions, the proposed tensor product spline FACF estimator is asymptotically equivalent to the oracle estimator with all known trajectories, leading to asymptotic correct simultaneous confidence envelope (SCE) for the true FACF. Simulation experiments validate the asymptotic correctness of the SCE and data-driven FMA order selection. The proposed SCEs are computed for the FACFs of an ElectroEncephalogram (EEG) functional time series with interesting discovery of finite FMA lag and Fourier form functional principal components. (joint work with Chen Zhong, Wuhan University, Statistica Sinica 33(4), 2023)

报告时间：2023年9月11日，17:05-18:50

报告地点：诚意楼103

报告人简介：杨立坚，清华大学统计学研究中心与工业工程系长聘教授、国家高层次人才计划入选者。北京大学数学学士（1987）、美国北卡罗来纳大学教堂山分校统计学博士（1995）、德国洪堡大学博士后（1995-97）。曾任美国密西根州立大学助理教授（1997-2001）、终身副教授（2001-06）、终身正教授（2006-14）、研究生主任（2007-10），苏州大学特聘教授、高等统计与计量经济中心主任（2011-16）。当选美国统计协会会士（ASA Fellow）、国际数理统计学会会士（IMS Fellow）、国际工程技术协会杰出会士（IETI Distinguished Fellow）、国际统计学会会员（ISI Elected Member）、获美国耶鲁大学出版社Tjalling C. Koopmans Econometric Theory Prize。研究领域：函数型数据、非线性时间序列数据、抽样调查数据的统计推断、高维数据半参数降维的理论与方法，同时置信带的理论与方法，统计学对经济学、食品科学、遗传学、和神经科学的应用。在包括Annals of Statistics, Annals of Probability, Journal of the American Statistical Association, Journal of the Royal Statistical Society B, Journal of Econometrics, Journal of Business and Economic Statistics 的SCI期刊发表论文80余篇。