| Speaker: | Guangming Pan, Nanyang Technological University |
| Host: | Qinwen Wang, School of Data Science, Fudan University |
| Time: | 17:00-18:00, December 12, 2019 |
| Location: | Zibin S301, Fudan University |
| Abstract： | This talk is about the spiked eigenvalues for high dimensional data with both cross-sectional dependence and dependent sample structure. We illustration its applications by investing whether we should implement PCA (factor model) for non-stationary data. A statistic is proposed for distinguishing between unit root models and non-stationary factor model. |
| Bio: | Dr Li is currently an assistant professor in the Department of Statistics and Data Science, Southern University of Science and Technology. Previously she was a postdoctoral fellow in the Department of Statistics at the Pennsylvania State University. Dr. Li obtained her Ph.D. degree from the Department of Statistics and Actuarial Science at the University of Hong Kong. Dr. Li’s research covers random matrix theory and high dimensional statistics. |