| Budget Amount *help |
¥3,510,000 (Direct Cost: ¥2,700,000、Indirect Cost: ¥810,000)
Fiscal Year 2016: ¥1,170,000 (Direct Cost: ¥900,000、Indirect Cost: ¥270,000)
Fiscal Year 2015: ¥1,170,000 (Direct Cost: ¥900,000、Indirect Cost: ¥270,000)
Fiscal Year 2014: ¥1,170,000 (Direct Cost: ¥900,000、Indirect Cost: ¥270,000)
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| Outline of Final Research Achievements |
Introducing a curved probability model,which includes a class of very general nonlinear time series models,we proposed a shrinkage estimator for unknown parameter of the curved probability models. Then we developed the third-order asymptotic estimation theory for the estimator, and provided a sufficient condition for the shrinkage estimator to improve the usualestimators. The results can be applied to the problem of portfolio coefficient estimation. Because the results are very general, we can apply them to a variety of statistical observations generated by multivariate financial time series, multivariate time series regression models and usual mulitivariate models.
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