Application of estimating function estimator to optimal portfolio and other models
| Project/Area Number |
22700296
|
|---|
| Research Category |
Grant-in-Aid for Young Scientists (B)
|
| Allocation Type | Single-year Grants |
|---|
| Research Field |
Statistical science
|
|---|
| Research Institution | Wakayama University (2011-2013)
Waseda University (2010) |
|---|
Principal Investigator |
|
|---|
| Project Period (FY) |
2010-04-01 – 2014-03-31
|
| Project Status |
Completed (Fiscal Year 2013)
|
| Budget Amount *help |
¥4,030,000 (Direct Cost: ¥3,100,000、Indirect Cost: ¥930,000)
Fiscal Year 2013: ¥650,000 (Direct Cost: ¥500,000、Indirect Cost: ¥150,000)
Fiscal Year 2012: ¥650,000 (Direct Cost: ¥500,000、Indirect Cost: ¥150,000)
Fiscal Year 2011: ¥910,000 (Direct Cost: ¥700,000、Indirect Cost: ¥210,000)
Fiscal Year 2010: ¥1,820,000 (Direct Cost: ¥1,400,000、Indirect Cost: ¥420,000)
|
|---|
| Keywords | 推定関数推定量 / 条件付最小２乗推定量 / 漸近有効 / LAN / 最適ポートフォリオ / CHARNモデル / 非線形時系列モデル / 多次元時系列モデル / 漸近正規性 / 漸近最適性 / 時系列解析 |
|---|
| Research Abstract |
An estimating function estimator was founded by Godambe and Hansen and it has been applied to various statistical models. In this research, we mainly showed the following results about this estimator.
(1)We applied the estimating function estimator to optimal portfolio estimation and derived its asymptotic normality.
(2)We applied the estimating function estimator to CHARN model, which is very general model, and showed the estimating function estimator is better than the conditional least squares estimator in the sense of efficiency, and derived the condition that the estimating function estimator becomes asymptotically efficient.
|
Report
(5 results)
Research Products
(31 results)
