[ABE-L] Ciclo de Palestras PPG Estatística UFRJ (Marcelo Medeiros - 05/10 às 15:30h)

[Viviana Lobo]

Prezados,
dando continuidade ao Ciclo de Palestras do Programa de Pós-Graduação
em Estatística do IM-UFRJ,  *na próxima 4a feira, 05/10/2022, às 15:30*,
teremos a palestra do professor:

*Palestrante: Marcelo Cunha Medeiros (PucRio)*
*Titulo: BRIDGING FACTOR AND SPARSE MODELS*

Factor and sparse models are two widely used methods to impose a
low-dimensional structure in high-dimensions. However, they are seemingly
mutually exclusive. We propose a lifting method that combines the merits
of these two models in a supervised learning methodology that allows for
efficiently exploring all the information in high-dimensional datasets. The
method is based on a flexible model for high-dimensional panel data, called
factor-augmented regression model with observable and/or latent common
factors, as well as idiosyncratic components. This model not only includes
both principal component regression and sparse regression as specific models
but also significantly weakens the cross-sectional dependence and
facilitates
model selection and interpretability. The method consists of several steps
and
a novel test for (partial) covariance structure in high dimensions to infer
the
remaining cross-section dependence at each step. We develop the theory for
the model and demonstrate the validity of the multiplier bootstrap for
testing
a high-dimensional (partial) covariance structure. The theory is supported
by
a simulation study and applications.


As palestras ocorrem *de forma presencial *às quartas-feiras às 15:30h na
sala C119 na ligacao ABC, do Centro de Tecnologia, Ilha do Fundão da
Universidade Federal do Rio de Janeiro.

Palestras disponíveis no YouTube: Ciclo de Palestras Estatística UFRJ -
YouTube <https://www.youtube.com/channel/UCoLTqHW20Ne1qFYL2xYJOcg>

abs
viviana


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