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09月15日 哈尔滨工业大学张阳春博士学术报告

发布时间: 2020-09-14   浏览次数: 82

baogaoren: zhangyangchun boshi(haerbingongyedaxue)

baogaotimu: spectral behaviours of auto-cross covariance matrix generated by varma

baogaoshijian: 9yue15ri(xingqier)16: 30-17:30

电竞投注baogaodidian: jingyuanlou1506baogaoting

baogaorenjianjie: zhangyangchun,benkeboshibiyeyuhaerbingongyedaxuetongjixuezhuanye,daoshi: tianbopingjiaoshou。2018.01 ∼ 2019.01, xinjiapoguolidaxue, tongjiyuyingyonggailvzhuanye, lianhepeiyangboshisheng, daoshi: zhouwangjiaoshou。2019.06.01 ∼ 2019.06.14, xianggangkejidaxue, shuxuexi, consultant.。yanjiuxingquzhuyaojizhongzaigaoweitongjihesuijijuzhenfangmian (tebieshidianjingtouzhujizhitezhengzhideyanjiuyijiyixiegaoweitongjideyingyong)。

zhaiyao: there are no explicit expressions for the density function generated by vector autoregressive moving average (varma) models. for such models whose sample covariance matrices do not have independence structure in columns, we propose to use modified kernel estimators which are proved to be consistent. we derive the tracy-widom law for the largest eigenvalue of sample covariance matrix generated by the vector autoregressive moving average model when the dimension is comparable to the sample size. this result is applied to making inference on the varma models.


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