[Forum SIS] UNIBO Statistics Seminar

[Silvia Cagnone]

We are glad to announce the following  Statistics Seminar:



Thursday, October 26, 2.30 pm


   Seminar Room, via delle Belle Arti 41, Bologna


     Matteo Barigozzi (London School of Economics)

                Sequential testing for structural stability in approximate factor models



Abstract:  We develop a monitoring procedure to detect a change in a large approximate factor model. Our statistics are based on a well-known property of the (r + 1)-th eigenvalue of the sample covariance matrix of the data: whilst under the null the (r + 1)-th eigenvalue is bounded, under the alternative of a change (either in the loadings, or in the number of factors itself) it becomes spiked. Given that the sample eigenvalue cannot be estimated consistently under the null, we regularise the problem by randomising the test statistic in conjunction with sample conditioning, obtaining a sequence of i.i.d., asymptotically chi-square statistics which are then employed to build the monitoring scheme. Numerical evidence shows that our procedure works very well in finite samples, with a very small probability of false detections and tight detection times in presence of a genuine change point.(Joint work with Lorenzo Trapani)



Contact person: Giuseppe Cavaliere


The schedule of the statistics seminars are available at http://www.stat.unibo.it/it/dipartimento/seminari-di-statistica-2017



Silvia Cagnone
Department of Statistical Sciences "Paolo Fortunati"
University of Bologna
Via delle Belle Arti 41 - 40126  Bologna,  ITALY
Tel: +39 051 2098213  Fax: +39 051 232153
http://www2.stat.unibo.it/cagnone/

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