报告题目：Two classes of Z-valued INAR(1) models with financial applications

报 告 人：康尧 副教授

所在单位：西安交通大学

报告时间：2025年7月2日 10:00-11:00

报告地点：数学楼第二报告厅

校内联系人：朱复康 [email protected]

报告摘要：Z-valued time series, defined on the set of integers Z = {..., −2, −1, 0, 1, 2, …}, are commonly observed in economics and finance. Z-valued versions of integer-valued autoregressive (INAR) models are frequently employed to fit Z-valued time series. However, the existing Z-valued INAR models encounter difficulties in data generation mechanism and statistical inference. To enhance the modeling and prediction of Z-valued time series, this talk introduces two classes of Z-valued INAR(1) models from new perspective and studies the related statistical inference problem. Empirically, applications to financial datasets demonstrate that our models offer satisfactory performance in economics and finance.

报告人简介：康尧，西安交通大学副教授，硕士生导师，2020年6月于成人直播平台 获得博士学位，2020年7月进入西安交通大学数学与统计学院工作。目前主要从事时间序列分析、统计过程控制和保险精算等方面的研究，以第一作者和通讯作者身份于TEST、The Canadian Journal of Statistics和Economics Letters等统计学和经济学期刊发表SCI/SSCI论文16篇，先后主持国家自然科学基金青年项目、中国博士后面上项目等5项，担任中国现场统计研究会大数据统计分会、中国现场统计研究会贝叶斯统计分会理事，承担Statistical Papers和Journal of Statistical Computation and Simulation、Methodology and Computing in Applied Probability和Journal of Systems Science and Complexity等期刊的审稿工作。