Volume 16, 2012
|Page(s)||139 - 150|
|Published online||03 July 2012|
Shrinkage strategies in some multiple multi-factor dynamical systems
University of Windsor, 401 Sunset Avenue, Windsor, N9B 3P4, Ontario, Canada
Received: 10 July 2009
Revised: 27 February 2010
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.
Mathematics Subject Classification: 62M05 / 58J65
Key words: Asymptotic distributional risk / diffusion process / MLE / Shrinkage estimator / Wiener process.
© EDP Sciences, SMAI, 2012
Current usage metrics show cumulative count of Article Views (full-text article views including HTML views, PDF and ePub downloads, according to the available data) and Abstracts Views on Vision4Press platform.
Data correspond to usage on the plateform after 2015. The current usage metrics is available 48-96 hours after online publication and is updated daily on week days.
Initial download of the metrics may take a while.