报告主题：Diagnostic analytics for a GARCH model under skew-normal distributions

时间：2023年12月22日15:10-16:00

地点：上川路校区一教218室  

报告人：刘双喆

报告内容简介：

In this talk, a GARCH model under skew-normal distributions is studied. The maximum likelihood approach is taken and the parameters in the model are estimated based on the expectation-maximization algorithm. The statistical diagnostics is made through the local influence technique. The normal curvature and diagnostics are established for the model under four perturbation schemes in identifying possible influential observations. A simulation study is conducted to evaluate the performance of our proposed method and a real-world application is presented as an illustrative example.

主讲人简介：

Dr. Shuangzhe Liu is currently a member of the Faculty of Science and Technology at the University of Canberra in Australia. He obtained his PhD in Econometrics from the Tinbergen Institute, University of Amsterdam, the Netherlands, specializing in matrix differential calculus, multivariate analysis, and statistical learning. His extensive expertise is evidenced by his numerous publications in prestigious journals in the fields of mathematics, statistics, and related areas. Additionally, he has co-authored a comprehensive book on time series analysis using SAS Enterprise Guide. Demonstrating a strong commitment to advancing statistical knowledge, Shuangzhe actively contributes to the field as an Associate Editor for multiple statistical journals and holds an Editor position at Statistical Papers.