Jan 21 2020

Special Colloquium: Tests for principal eigenvalues and eigenvectors, by Xinghua Zheng

January 21, 2020

3:00 PM - 3:50 PM

Location

636 SEO

Address

Chicago, IL

Xinghua Zheng (Hong Kong University of Science and Technology): Tests for principal eigenvalues and eigenvectors

We establish central limit theorems for principal eigenvalues and eigenvectors under a large factor model setting, and develop two-sample tests for differences in either principal eigenvalues or principal eigenvectors. As an application, these tests can be used to detect structural breaks in large factor models. To the best of our knowledge, our tests are the first that can distinguish between individual eigenvalues and/or eigenvectors, and hence provide unique insights into the source of structural breaks.

Based on joint work with Jianqing Fan, Yingying Li and Ningning Xia.

Tea will be served at SEO 300, 4:00 - 4:30 PM.

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Date posted

Jan 24, 2020

Date updated

Jan 24, 2020

Speakers

Xinghua Zheng | (Hong Kong University of Science and Technology)