北航经管学院“经济统计论坛”系列讲座
（2024年第2期，总第24期）
讲座题目：Testing Alpha in High Dimensional Linear Factor Pricing Models with Dependent Observations
讲座时间：2024年5月29日（周三），15:00-16:30
会议地址：新主楼 A1048
讲座嘉宾：冯龙 副教授
讲座嘉宾简介：
冯龙现任南开大学统计与数据科学学院副教授、特聘研究员、博士生导师。入选教育部青年人才计划、南开大学百名青年学科带头人。曾获得教育部学术新人奖，南开大学优秀博士论文奖。主要从事高维数据分析方面的研究，在统计学国际顶尖杂志JRSSB, JASA、Biometrika、Annals of Statistics、JOE、JBES等发表40余篇论文。主持一项天津市杰出青年基金、国家自然科学基金面上项目和青年项目。
邀请人：崔文昊 讲师
讲座概要：
In this study, we introduce three distinct testing methods for testing alpha in high dimensional linear factor pricing model that deals with dependent data. The first method is a sum-type test procedure, which exhibits high performance when dealing with dense alternatives. The second method is a max-type test procedure, which is particularly effective for sparse alternatives. For a broader range of alternatives, we suggest a Cauchy combination test procedure. This is predicated on the asymptotic independence of the sum-type and max-type test statistics. Both simulation studies and practical data application demonstrate the effectiveness of our proposed methods when handling dependent observations.
