題目：Forecasting mortality with a hyperbolic spatio-temporal VAR model

報告人：江西財經(jīng)大學產(chǎn)業(yè)經(jīng)濟研究院 馮凌秉 助理教授

時 間：2020年10月30日（周五）9:00開始

地 點：bwin必贏唯一官網(wǎng)313室

歡迎廣大師生參加！

報告摘要：In this study, we adopt the concept of hyperbolic memory to the spatial dimension and propose a hyperbolic STVAR (HSTVAR) model. In this talk, I showcase that, retaining all desirable features of the STVAR, our model uniformly beats the Lee-Carter model, the weighted functional demographic model, Spatio-temporal VAR and sparse VAR counterparties for forecasting accuracy, when French and Spanish mortality data over 1950–2016 are considered. Simulation results also lead to robust conclusions. Long-term forecasting analyses up to 2050 comparing the four models are further performed. To illustrate the extensible feature of HSTVAR to a multi-population case, a two-population illustrative example using the same sample is further presented.

主講人簡介：

馮凌秉，澳大利亞國立大學統(tǒng)計學博士，現(xiàn)任江西財經(jīng)大學產(chǎn)業(yè)經(jīng)濟研究院助理教授、碩士研究生導師，江西金融發(fā)展研究院高級研究員，統(tǒng)計之都理事會主席。其研究領(lǐng)域為金融計量和應(yīng)用統(tǒng)計，其近期的研究興趣主要是缺失值插補、人口統(tǒng)計學、波動率預(yù)測模型以及機器學習在經(jīng)濟學領(lǐng)域的應(yīng)用等，已在相關(guān)領(lǐng)域發(fā)表論文十五篇。其主持國家自然科學基金一項，參與多項國家和省級課題研究。教學方面曾獲得江西財經(jīng)大學雙語課程金牌講師和青年教師教學獎。其譯有《數(shù)據(jù)科學實戰(zhàn)》與《R語言入門與實踐》，并開發(fā)有數(shù)個R語言軟件包。