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Factor selection and related topics on high-dimensional data analysis

Research Project

Project/Area Number 16K03590
Research Category

Grant-in-Aid for Scientific Research (C)

Allocation TypeMulti-year Fund
Section一般
Research Field Economic statistics
Research InstitutionOtaru University of Commerce

Principal Investigator

LIU QINGFENG  小樽商科大学, 商学部, 教授 (60378958)

Project Period (FY) 2016-04-01 – 2019-03-31
Project Status Completed (Fiscal Year 2018)
Budget Amount *help
¥4,290,000 (Direct Cost: ¥3,300,000、Indirect Cost: ¥990,000)
Fiscal Year 2018: ¥1,170,000 (Direct Cost: ¥900,000、Indirect Cost: ¥270,000)
Fiscal Year 2017: ¥1,430,000 (Direct Cost: ¥1,100,000、Indirect Cost: ¥330,000)
Fiscal Year 2016: ¥1,690,000 (Direct Cost: ¥1,300,000、Indirect Cost: ¥390,000)
KeywordsModel Selection / Model Averaging / Factor / Nonlinear / Optimality / High-Dimensional / Algorithm / Sparsity / Model selection / Model averaging / Volatility model / Diffusion index model / Factor model / 非線形回帰モデル / GARCH型モデル / モデル選択 / モデル平均 / 情報量基準 / 最適性 / 非線形モデル / GARCHモデル / ファクター抽出 / Diffusion Index model / Factor Selection / Big Data / Forecasting
Outline of Final Research Achievements

5 research papers have been written. 2 of them have been published. The other 3 have been reported in some international conferences or seminars. The most important paper considered the problem of model averaging estimation for regression models that can be nonlinear in their parameters and variables. We proved the optimality of the new method. Monte Carlo experiments revealed that NMA lead to relatively lower risks compared with alternative model selection and model averaging methods in most situations. Empirical results showed that in most cases, our method leads to the lowest prediction errors. Moreover, I and my coauthors proposed model averaging methods of GARCH type models for analyzing financial data in three papers, which contribute to forecasting in financial market. In the last year, I showed the sparsity of the weight of the model averaging method for linear models. Subsequently, a high-speed algorithm for the model averaging method was proposed.

Academic Significance and Societal Importance of the Research Achievements

本研究は経済現象や他の社会現象や自然現象の分析のために新しい統計的方法を開発した。特にビッグデータの一種である高次元データの分析の精度を高めることやその分析のための計算コストを下げることに貢献している。統計理論を発展させると同時に、実用的な研究成果であるため、様々な分野で応用されて国民経済の発展に貢献できると期待する。

Report

(4 results)
  • 2018 Annual Research Report   Final Research Report ( PDF )
  • 2017 Research-status Report
  • 2016 Research-status Report
  • Research Products

    (20 results)

All 2018 2017 Other

All Journal Article (2 results) (of which Int'l Joint Research: 2 results,  Peer Reviewed: 2 results) Presentation (15 results) (of which Int'l Joint Research: 7 results,  Invited: 8 results) Remarks (3 results)

  • [Journal Article] Model Averaging Estimation Method for Nonlinear GARCH Family2018

    • Author(s)
      Qingsong Yao, Guoqing Zhao and Qingfeng Liu
    • Journal Title

      Statistical Research

      Volume: 35 Pages: 119-128

    • Related Report
      2018 Annual Research Report
    • Peer Reviewed / Int'l Joint Research
  • [Journal Article] Model Averaging Estimation for GARCH Family2017

    • Author(s)
      Gouging Zhao, Qingsong Yao and Qingfeng Liu
    • Journal Title

      The Journal of Quantitative & Technical Economics

      Volume: 6 Pages: 104-118

    • Related Report
      2016 Research-status Report
    • Peer Reviewed / Int'l Joint Research
  • [Presentation] ファクターモデルの進展と経済学への応用2018

    • Author(s)
      劉慶豊
    • Organizer
      中国吉林大学2018計量経済学国際講習レクチャー
    • Related Report
      2018 Annual Research Report
    • Invited
  • [Presentation] Model Averaging for Nonlinear Regression Models2018

    • Author(s)
      Qingfeng Liu
    • Organizer
      Seminar in the Department of Statistics, Columbia University
    • Related Report
      2018 Annual Research Report
  • [Presentation] Model Averaging Estimation for Conditional Heteroscedasticity Model Family2018

    • Author(s)
      劉慶豊
    • Organizer
      The 2nd International Conference on Econometrics and Statistics, Hong Kong, China
    • Related Report
      2017 Research-status Report
    • Int'l Joint Research
  • [Presentation] Model Averaging Estimation for Conditional Heteroscedasticity Model Family2018

    • Author(s)
      Qingsong Yao
    • Organizer
      2018 China Meeting of the Econometric Society, Shanghai, China.
    • Related Report
      2017 Research-status Report
    • Int'l Joint Research
  • [Presentation] MODEL SELECTION AND MODEL AVERAGING FOR NONLINEAR REGRESSION MODELS2017

    • Author(s)
      劉慶豊
    • Organizer
      IAAE 2017
    • Place of Presentation
      Hotel Emisia Sapporo(北海道札幌市)
    • Year and Date
      2017-06-26
    • Related Report
      2016 Research-status Report
    • Int'l Joint Research
  • [Presentation] MODEL SELECTION AND MODEL AVERAGING FOR NONLINEAR REGRESSION MODELS2017

    • Author(s)
      Qingsong Yao
    • Organizer
      2017 China Meeting of the Econometric Society
    • Place of Presentation
      武漢大学(中国)
    • Year and Date
      2017-06-09
    • Related Report
      2016 Research-status Report
    • Int'l Joint Research
  • [Presentation] Model selection and model averaging for nonlinear regression models2017

    • Author(s)
      劉慶豊
    • Organizer
      the European Meeting of Statisticians 2017, Helsinki, Finland.
    • Related Report
      2017 Research-status Report
    • Int'l Joint Research
  • [Presentation] Model selection and model averaging for nonlinear regression models2017

    • Author(s)
      劉慶豊
    • Organizer
      2017年数量経済学国際学術検討会、中国長春市
    • Related Report
      2017 Research-status Report
    • Int'l Joint Research / Invited
  • [Presentation] Model selection and model averaging for nonlinear regression models2017

    • Author(s)
      劉慶豊
    • Organizer
      IMIP2017, The International Symposium on Innovative Management, Information & Production, Wu Hu, China.
    • Related Report
      2017 Research-status Report
    • Int'l Joint Research / Invited
  • [Presentation] MODEL SELECTION AND MODEL AVERAGING FOR NONLINEAR REGRESSION MODELS2017

    • Author(s)
      劉慶豊
    • Organizer
      関西計量経済研究会
    • Place of Presentation
      広島大学東千田キャンパス(広島県広島市)
    • Related Report
      2016 Research-status Report
  • [Presentation] MODEL SELECTION AND MODEL AVERAGING FOR NONLINEAR REGRESSION MODELS2017

    • Author(s)
      劉慶豊
    • Organizer
      中国首都師範大学研究会
    • Place of Presentation
      中国首都師範大学(中国)
    • Related Report
      2016 Research-status Report
    • Invited
  • [Presentation] MODEL SELECTION AND MODEL AVERAGING FOR NONLINEAR REGRESSION MODELS2017

    • Author(s)
      劉慶豊
    • Organizer
      中国科学院研究会
    • Place of Presentation
      中国科学院(中国)
    • Related Report
      2016 Research-status Report
    • Invited
  • [Presentation] MODEL SELECTION AND MODEL AVERAGING FOR NONLINEAR REGRESSION MODELS2017

    • Author(s)
      劉慶豊
    • Organizer
      人民大学経済学院研究会
    • Place of Presentation
      人民大学経済学院(中国)
    • Related Report
      2016 Research-status Report
    • Invited
  • [Presentation] MODEL SELECTION AND MODEL AVERAGING FOR NONLINEAR REGRESSION MODELS2017

    • Author(s)
      劉慶豊
    • Organizer
      上海対外経貿大学研究会
    • Place of Presentation
      上海対外経貿大学(中国)
    • Related Report
      2016 Research-status Report
    • Invited
  • [Presentation] MODEL SELECTION AND MODEL AVERAGING FOR NONLINEAR REGRESSION MODELS2017

    • Author(s)
      劉慶豊
    • Organizer
      吉林大学2017年青年概率統計学者論壇
    • Place of Presentation
      長春市御諾酒店(中国)
    • Related Report
      2016 Research-status Report
    • Invited
  • [Remarks] Selected Publications

    • URL

      http://www.otaru-uc.ac.jp/~qliu/publication.html

    • Related Report
      2018 Annual Research Report
  • [Remarks] Current Working Papers

    • URL

      http://www.otaru-uc.ac.jp/~qliu/wp.html

    • Related Report
      2018 Annual Research Report 2016 Research-status Report
  • [Remarks] 劉慶豊ホームページ

    • URL

      http://www.otaru-uc.ac.jp/~qliu/index.html

    • Related Report
      2017 Research-status Report

URL: 

Published: 2016-04-21   Modified: 2020-03-30  

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