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Shrinkage strategies in some multiple multi-factor dynamical systems

Published online by Cambridge University Press:  03 July 2012

Sévérien Nkurunziza
Sévérien Nkurunziza*
Affiliation:
University of Windsor, 401 Sunset Avenue, Windsor, N9B 3P4, Ontario, Canada. [email protected]
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Abstract

In this paper, we are interested in estimation problem for the drift parameters matrices of m independent multivariate diffusion processes. More specifically, we consider the case where the m-parameters matrices are supposed to satisfy some uncertain constraints. 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 simulation studies for observation periods of small and moderate lengths of time that corroborate the theoretical finding for which shrinkage estimators outperform over the MLE. The proposed method is useful in model assessment and variable selection.

Keywords

Asymptotic distributional riskdiffusion processMLEShrinkage estimatorWiener process.
Type
Research Article
Information
ESAIM: Probability and Statistics , Volume 16 , 2012 , pp. 139 - 150
Copyright
© EDP Sciences, SMAI, 2012

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References

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