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Activity Number:
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373
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Type:
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Contributed
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Date/Time:
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Tuesday, August 2, 2016 : 10:30 AM to 12:20 PM
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Sponsor:
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IMS
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Abstract #320095
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Title:
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Efficient Methods in Generalized Mean-Reverting Processes with Change-Point
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Author(s):
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Severien Nkurunziza* and Pei Patrick Zhang
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Companies:
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University of Windsor and University of Windsor
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Keywords:
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Stein-rules, Ornstein-Uhlebeck process, Mean-reverting process, diffusion process, drift parameter
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Abstract:
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In this paper, we consider an estimation problem in generalized Ornstein-Uhlenbeck processes with unknown change-point. In particular, we consider the case where the target parameter is drift of the process while the change-point is the nuisance parameter. Further, we consider the scenario where the target parameter may satisfy uncertain constraint. We develop asymptotic properties of the unrestricted and the restricted estimators and we construct shrinkage-type estimators for the drift parameter. Finally, we prove that shrinkage estimators dominate in mean-squared error the unrestricted estimator.
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Authors who are presenting talks have a * after their name.
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