報告題目：Prediction using many samples with models containing partially shared parameters
報 告 人：張新雨 中科院系統所
報告時間：2019年11月18日下午14：00-15：00
報告地點：數學樓第二報告廳
報告摘要：
When a model of main research interest shares partial parameters with several other models, it is of bene_t to incorporate the information contained in these other models to improve the estimation and prediction for the main model of interest. Various methods are possible to make use of the additional models as well as the additional observations related to these models. We propose an optimal strategy of doing so in terms of prediction. We develop the model averaging methodology and obtain the optimal weights. We also establish theory to support the method and show its desirable properties both when the main model is correct and when it is incorrect. Numerical experiments including simulation studies and data analysis are conducted to demonstrate the superior performance of our methods.
報告人簡介：
張新雨，中科院系統所/預測中心研究員，Texas A&M大學博士後、Penn State 大學Research Fellow。主要研究方向為模型平均、模型選擇、組合預測等。國家傑出青年科學基金獲得者，主持3項國家自然科學基金，目前擔任《JSSC》、《SADM》、《系統科學與數學》、《應用概率統計》編委和《Econometrics》客座主編。
