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朱力行教授学术报告:Order determination for large dimensional matrices

发布时间:2020-09-22     来源:    点击数:

报告题目:Order determination for large dimensional matrices

主 讲 人:朱力行教授

报告时间:202092415:00-16:00

报告地点:腾讯会议 会议ID858 144 011

点击链接入会: https://meeting.tencent.com/s/BufxOYFeATpF


报告摘要:

Underdetermination of model dimensionality (order) is a longstanding problem when existing eigendecomposition-based criteria are used. To alleviate this difficulty, we propose a thresholding double ridge ratio criterion in this paper. Unlike all existing eigendecomposition-based criteria, the proposed criterion can provide a consistent estimate even when there are several local minima. For illustration, we present the generic strategy with three important applications: dimension reduction in regressions model checking with local alternative models; and ultra-high dimensional approximate factor models. Numerical studies are conducted to examine the finite sample performance of the proposed method.


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