报告主题：Determining the number of change-points in high-dimensional factor models by cross-validation with matrix completion

时间：2024年11月1日13:00-13:45

地点：腾讯会议会议号：640 7817 1046 密码：6666

报告人：周睿超

报告内容简介：

This paper focuses on the determination of the number of change-points in high-dimensional factor models via cross-validation with matrix completion. An imputed method is proposed to predict the validation data set which is seen as the ‘‘missing" data of the training set. The number of change-points can be determined by minimizing the prediction error on the validation set. The consistency of the estimator is established under some mild conditions. Monte Carlo simulation results show desired performance of the proposed method compared to the existing competitors.

主讲人简介：