近日，我院统计与数据科学系硕士研究生钟成龙、统计与数据科学系王国长教授合作的论文“An automatic MDDM-based test for martingale difference hypothesis”在Statistica Sinica上线上发表。该期刊为统计学领域权威期刊，属于学院国际A3类期刊。
01论文摘要
Checking whether the error term is a marginal difference sequence (MDS) in the multivariate time series model with a parametric conditional mean is a crucial problem. Tests based on the martingale difference divergence matrix (MDDM) are an effective statistical method for testing MDS in the residuals of multivariate time series models. However, MDDM-based tests require specifying the lag order. To solve this problem, we propose a data-driven MDDM-based test that automatically selects the lag order. This method has three main advantages: first, researchers do not need to specify the lag order while the test automatically selects it from the data; second, under the null hypothesis, the lag order is one; third, the proposed automatic tests have good performance in detecting model inadequacy caused by high-order dependence. In theory, we prove the asymptotical property of the proposed method. Furthermore, we demonstrate the effectiveness of this method through simulations and real data analysis.
DOI: 10.5705/ss.202024.0035
02作者简介
钟成龙，88858cc永利官网统计与数据科学系统计理学专业硕士三年级学生。研究方向为时间序列的模型检验方法，在Statistica Sinica接收论文1篇，在投论文1篇。
王国长，教授、博士生导师，现任88858cc永利官网统计与数据科学系主任。主要研究方向为函数型数据分析、时间序列、充分性降维和机器学习方法及应用等，迄今为止在Journal of Econometrics, Journal of the Business & Economic Statistics, Statistica Sinica, Scandinavian Journal of Statistics等重要学术期刊发表论文30余篇。主持国家级项目4项，省部级项目4项。任中国现场统计研究会资源与环境统计分会常务理事；广东省现场统计协会常务理事，秘书长。
校对| 孙 兰
责编| 温舒雨
初审| 麦嘉杰
复审| 唐庆峰
终审发布| 何凌云
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