随后,北京大学张志华教授和清华大学苏良军教授分别代表两校作大会特邀报告。特邀报告一:《Stochastic Optimization, Stochastic Approximation and Statistical Inference》特邀报告人:北京大学 张志华教授特邀报告二:《Three-Dimensional Factor Models with Global and Local Factors》特邀报告人:清华大学 苏良军教授特邀报告之后,进入海报展示与评选。来自北大、清华的8名同学就各自的研究进行了简短报告。学生报告而后,师生共同针对近期的研究成果,开展了热烈的交流与讨论。
Topic: Stochastic Optimization, Stochastic Approximation and Statistical InferenceAbstract: 优化在统计中不仅起着计算工具的角色,同时也是方法论的来源。这个报告将讨论随机优化的统计估计和推断问题。特别是,基于随机逼近的框架,讨论机器学习中一些重要方法,比如 Local SGD, Q-Learning等的统计性质。
Topic: Three-Dimensional Factor Models with Global and Local FactorsAbstract: This paper considers a three-dimensional latent factor model in the presence of one set of global factors and two sets of local factors. We allow the numbers of local factors to vary across individuals and show that the numbers of global and local factors can be estimated uniformly consistently. Given the number of global and local factors, we propose a two-step estimation procedure based on principal component analysis (PCA). Our first step estimates the global factors and their factor loadings, after which we estimate the two sets of local factors and factor loadings sequentially. Our second step improves the estimation efficiency. The asymptotic theories for our estimators are established. Monte Carlo simulations demonstrate that they perform well in finite samples. Applications to two datasets in international trade and economic growth reveal the relative importance of different types of factors. In the international trade application, we find that the global factors, source country factors, and destination country factors are all important. In the industrial growth application, there is no global factor and the country factors are far more important than the industry factors. The extension to the 3D factor model with covariates is also studied.
林希虹,1984年进入清华大学应用数学系学习,1989年本科毕业后赴美留学,1991年在爱荷华大学取得统计学硕士学位,1994年在华盛顿大学取得生物统计学博士学位。1999年获得密歇根大学生物统计系终身教职。2005年,林希虹加盟哈佛大学,成为哈佛大学生物统计系和统计系终身教授,历任哈佛大学生物统计系主任、数量基因研究计划(Program of Quantitative Genomics)主任。