SEMINARIO 09-02-2024: “Shrinkage Estimators of BLUE for Time Series Regression Models"

Venerdì 9 febbraio 2024, ore 11:00

Il Dipartimento di Economia, Statistica e Finanza è lieto di invitarvi al seminario sul tema:

"Shrinkage Estimators of BLUE for Time Series Regression Models"

Relatore: Prof. Masanobu TANIGUCHI, Waseda University, Tokyo, Japan

Data e ora: Venerdì 9 febbraio 2024, ore 11:00

Luogo: Aula Seminari DESF, Cubo 0/C, Piano terra.

Abstract: For a p−dimensional time series regression model, using the BLUE estimator for the parameter of the given model we propose a shrinkage estimator. Then we provide a sufficient condition that the shrinkage estimator improves the BLUE estimator at third order. Although the BLUE estimator is the best linear estimator of the parameters, it uses the information of the covariance matrix Γ of the residual process. Usually, it has a form of Γ = Γ(θ), where θ is an unknown parameter of {ε(t)}. If θ is estimated by the shrinkage estimator, we use the covariance matrix evaluated in the shrinkage estimator in the definition of BLUE estimator. Toyooka (1986) that this new form of the BLUE estimator is asymptotically equivalent to the BLUE estimator under natural conditions, hence, we may replace the last one in the definition of the shrinkage estimator. (Joint work with Y. Xue and T. Liu).

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Seminario DESF