本文印刷
全画面プリント
統計数学セミナー
過去の記録 ～05/20｜次回の予定｜今後の予定 05/21～
| 担当者 | 吉田朋広、増田弘毅、荻原哲平、小池祐太 |
|---|---|
| 目的 | 確率統計学およびその関連領域に関する研究発表, 研究紹介を行う. |
2007年01月17日(水)
16:20-17:30 数理科学研究科棟(駒場) 128号室
玉置 健一郎 氏 (早稲田大学)
Second order optimality for estimators in time series regression models
https://www.ms.u-tokyo.ac.jp/~kengok/statseminar/2006/17.html
玉置 健一郎 氏 (早稲田大学)
Second order optimality for estimators in time series regression models
[ 講演概要 ]
We consider the second order asymptotic properties of an efficient frequency domain regression coefficient estimator hatbeta proposed by Hannan (1963). This estimator is a semiparametric estimator based on nonparametric spectral estimators. We derive the second order Edgeworth expansion of the distribution of hatbeta. Then it is shown that the second order asymptotic properties are independent of the bandwidth choice for residual spectral estimator, which implies that hatbeta has the same rate of convergence as in regular parametric estimation. This is a sharp contrast with the general semiparametric estimation theory. We also examine the second order Gaussian efficiency of hatbeta. Numerical studies are given to confirm the theoretical results.
[ 参考URL ]We consider the second order asymptotic properties of an efficient frequency domain regression coefficient estimator hatbeta proposed by Hannan (1963). This estimator is a semiparametric estimator based on nonparametric spectral estimators. We derive the second order Edgeworth expansion of the distribution of hatbeta. Then it is shown that the second order asymptotic properties are independent of the bandwidth choice for residual spectral estimator, which implies that hatbeta has the same rate of convergence as in regular parametric estimation. This is a sharp contrast with the general semiparametric estimation theory. We also examine the second order Gaussian efficiency of hatbeta. Numerical studies are given to confirm the theoretical results.
https://www.ms.u-tokyo.ac.jp/~kengok/statseminar/2006/17.html
