统计与数据科学系系列学术报告之五百二十三期

时    间：2026年9月28日（星期一）16:00-17:00

主持人：复旦大学 管理学院 统计与数据科学系 朱雪宁 教授

地    点：史带楼302室

报  告 人：洪永淼 院士

中国科学院

题   目：Consistent Testing for Structural Changes in Functional Time Series Data

摘   要：We propose a consistent test for structural changes in the mean function of a functional time series using a functional discrete Fourier transform (IDFT) approach. When and only when structural changes occur, the demeaned functional time series contains information of structural changes. This allows us to compare in mean the fDFT of the demeaned functional time series with the null (zero) functional spectrum if there are no structural changes. The proposed test is consistent against both smooth structural changes and abrupt structural changes with unknown break numbers and locations, or a mixture of them and does not rely on dimension reduction that might induce power loss. It achieves nontrivial power under a class of local alternatives converging to the null at the parametric rate. The test allows serial dependence of an unknown form in functional time series, and a dependent wild bootstrap (DWB) is proposed to guaranty asymptotic validity. Simulation studies demonstrate the excellent finite sample performance of the proposed test. An application to U.S. individual earnings data from 2001 to2025 illustrates its practical usefulness and superior performance relative to existing methods. 

个人简介：洪永淼，中国科学院数学与系统科学研究院关肇直首席研究员，中国科学院大学经济与管理学院院长，发展中国家科学院院士，世界计量经济学会会士，亚太人工智能学会会士，亚洲金融经济研究局高级会士，教育部高等学校经济学类专业教学指导委员会副主任委员。曾任美国康奈尔大学经济学与国际研究讲席教授、统计学教授，中国留美经济学会会长。

研究领域为计量经济学、时间序列分析、金融计量学、统计学，在Annals of Statistics、Biometrika、Econometrica、Journal of American Statistical Association、Journal of Political Economy、Journal of Royal Statistical Society B、Management Science、Quarterly Journal of Economics、Review of Economic Studies、Review of Financial Studies、《经济研究》《管理世界》《中国工业经济》《管理科学学报》《中国科学院院刊》等经济学、金融学和统计学中英文主流期刊发表文章200余篇。出版《Python经济大数据分析》《概率论与统计学》《高级计量经济学》、Probability and Statistics for Economists、Foundations of Modern Econometrics: A Unified Approach等中英文著作。2014-2025年连续12年入选Elsevier经济学/统计学中国高被引学者榜单，获2022年高等教育（本科）国家级教学成果奖一等奖。