2013 Fiscal Year Final Research Report
Application of estimating function estimator to optimal portfolio and other models
| Project/Area Number |
22700296
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| Research Category |
Grant-in-Aid for Young Scientists (B)
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| Allocation Type | Single-year Grants |
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| Research Field |
Statistical science
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| Research Institution | Wakayama University (2011-2013)
Waseda University (2010) |
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Principal Investigator |
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| Project Period (FY) |
2010-04-01 – 2014-03-31
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| 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 |
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| 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.
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