Il giorno martedì 4 ottobre alle ore 15.00 presso la Aula Seminari del
Dipartimento di Statistica e Metodi Quantitativi della Università di
Milano-Bicocca, il prof. Masanobu TANIGUCHI della Waseda University di
Tokyo terrà un seminario su
High Order Asymptotic Theory of Shrinkage Estimation for General
Statistical Models
Abstract
In this paper we develop the high order asymptotic theory of shrinkage
estimators for general statistical models, which include dependent
processes, multivariate models and regression models, i.e. non-i.i.d.
models.
Introducing a shrinkage estimator of MLE, we compare it with that of MLE
by third-order mean squares error (MSE).
A sufficient condition for the shrinkage estimator to improve the MLE
will be given in a very general fashion.
Our model is described as a curved statistical model p(·;\theta(u)),
where \theta is a parameter of a larger model and u is a parameter of
interest with dim u < dim \theta.
This setting is especially suitable for estimation of portfolio
coefficients u based on mean and variance parameters \theta.
We also mention the advantage of our shrinkage estimators when the
dimension of parameter becomes large.
Numerical studies are given, and illuminate an interesting feature of the
shrinkage estimator.
(joint work with Hiroshi SHIRAISHI, Yoshihiro SUTO, Takashi
YAMASHITA).
Tutti gli interessati sono invitati a partecipare.
Prof. Fabio Bellini
Department of Statistics and Quantitative Methods
University of Milano-Bicocca
Via Bicocca degli Arcimboldi 8, 20126 Milano
0039-2-64483119
http://www.economia.unimib.it/bellini
http://scholar.google.it/citations?user=P61L8P4AAAAJ&hl=it