时间：2018年12月21日(周五)下午15:00-16:00
地点：中北校区理科大楼A1716报告厅
题目：Time-varying Quantile Single-Index Model for Multivariate Responses
报告人：赵为华 南通大学
摘要：
We consider simultaneous semiparametric estimation of multiple conditional quantiles using a single-index structure. Motiviated by a financial application, a market factor index is constructed that is shared among different portfolios which results in a more interpretable and efficient model, compared to separately building multiple conditional quantiles. On the other hand, the link functions are allowed to be different. The asymptotic normality of the index parameter is established, as well as the convergence rate of the nonparametric functions. Monte Carlo studies demonstrated the advantages of the proposed estimator and an application to financial data is used to illustrate the method.