主题 Topic: Bayesian linear regression with conditional heteroscedasticity
时间Time：11月27日（周五）｜ November 27th (Friday), 4：00-5：00 PM
地点Venue：文澜楼407｜Room 407, WENLAN
主讲人Speaker：赵艳云，中南财经政法大学文澜学院助理教授，2015年获马德里卡洛斯三世大学经济学博士学位。研究领域主要包括贝叶斯非参数模型在经济学和金融学的应用，如：渐进理论、时间序列数据等。
Yanyun Zhao is an assistant professor of economics at Wenlan School of Business at Zhongnan University of Economics and Law. Professor Zhao received his Ph.D. from Universidad Carlos III de Madrid in 2015. The major part of his current research focuses on the development and applications of Bayesian nonparametric models in the field of economics and finance. Specifically, his research topics include semiparametric efficiency, asymptotic theory and time series data.
摘要（Abstract）:
In this paper we consider adaptive Bayesian semiparametric analysis of the linear regression model in the presence of conditional heteroscedasticity. The distribution of the error term on predictors is modelled by a normal distribution with covariate-dependent variance. We show that a rate-adaptive procedure for all smoothness levels of this standard deviation function is performed if the prior is properly chosen. More specifically, we derive adaptive posterior distribution rate up to a logarithm factor for the conditional standard deviation based on a transformation of hierarchical Gaussian spline prior and log-spline prior respectively.
