This is the program for the 2010 Joint Statistical Meetings in Vancouver, British Columbia.
Abstract Details
Activity Number:
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194
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Type:
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Contributed
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Date/Time:
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Monday, August 2, 2010 : 10:30 AM to 12:20 PM
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Sponsor:
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SSC
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Abstract - #307609 |
Title:
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Robust Inference in Some Multiple Multifactor Dynamical Systems
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Author(s):
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Sévérien Nkurunziza*+
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Companies:
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University of Windsor
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Address:
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401 Sunset Av. , Windsor, ON, N9B3P4, Canada
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Keywords:
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Asymptotic distributional risk ;
Diffusion process ;
MLE ;
Shrinkage estimator ;
Wiener process
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Abstract:
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In this paper, we are interested in estimation problem concerning the drift parameters matrices of $m$ independent multivariate diffusion processes. More specifically, we consider the case where the $m$-parameters matrices are suspected to satisfy some restrictions. Given such an uncertainty, we develop shrinkage estimators which improve over the performance of the maximum likelihood estimator (MLE). Under an asymptotic distributional quadratic risk criterion, we study the relative dominance of the established estimators. Further, we carry out intensive simulation studies for observation periods of small and moderate lengths of time that illustrate the performance of the proposed method. Simulation results corroborate the theoretical finding for which shrinkage estimators outperform over the MLE. The proposed method is useful in model assessment and variable selection.
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Authors who are presenting talks have a * after their name.
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