【12.28腾讯会议】On a Data-driven Semiparametric Modelling of Spatio-temporal Large Data: Exploring Spatio-temporal Network Lag Interactions

报告题目:On a Data-driven Semiparametric Modelling of Spatio-temporal Large Data: Exploring Spatio-temporal Network Lag Interactions

报告学长: Zudi Lu(卢祖帝)


报告地点:腾讯会议 ID: 381 6014 5369

摘要:Nonlinear modelling of complex spatio-temporal processes has been widely recognized an important but challenging issue in geospatial big data analysis. In many applications related to spatial problems, to study possibly nonlinear interaction between covariates and the concerned response at a location, accounting for the temporal lag interactions of the response at a given location and the spatio-temporal network lag interactions between locations could improve the accuracy of estimation and forecasting. There lacks, however, methodology to objectively identify and estimate such spatio-temporal network lag interactions. In this talk, we present a semiparametric data-driven nonlinear time series regression method that accounts for lag interactions across space and over time. A penalized procedure is developed for the identification and estimation of important spatio-temporal network lag interactions. Theoretical properties for our proposed methodology are established under a general near epoch dependence structure covering strong (alpha-) mixing as a special case and thus the results can be applied to a variety of linear and nonlinear time series processes. For illustration, we analyze the US housing price data and demonstrate substantial improvement in forecasting via the identification of nonlinear relationship between HPI and CPI as well as spatio-temporal network lag interactions.

报告人简介:Zudi Lu is a Professor/Chair in Statistics, in Mathematical Sciences and Southampton Statistical Sciences Research Institute (S3RI) at University of Southampton, UK. His research focuses on financial statistics, econometrics, nonlinear financial time series modelling, nonlinear spatio-temporal big data and intelligent modeling statistical inference, etc.

Professor Lu had worked at several international academic institutions, including the University of Adelaide and Curtin University in Australia, the London School of Economics in the UK, the Academy of Mathematics and Systems Science in China, and the Université Catholique de Louvain in Belgium. Professor Lu has been supported by the China National Natural Science Key Fund, the Australian National "Future" Research Outstanding Youth Fund Project (ARC Future Fellow), the EU Marie Curie Research Fund Project (Career Integration Grant/Marie Curie Fellow), etc. Professor Lu is an elected member of the International Statistical Society. 

Professor Lu is the associate editor or editorial board member of the international journals Journal of Time Series Analysis, Environmental Modelling and Assessment and Cogent Mathematics and Statistics and Journal of Systems Engineering-Theory & Practice. Professor Lu has published more than 90 academic papers in major international journals of statistics and econometrics, including Annals of Statistics, Journal of American Statistician Association, Journal of Royal Statistical Society series B, Journal of Econometrics, Econometric Theory, etc.