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学术讲座:Estimation of a Multiplicative Correlation Stracture in the Large Dimensional Case

题目:Estimation of a Multiplicative Correlation Stracture in the Large Dimensional Case
报告人:Oliver Linton
报告时间:2018年11月13日(周二) 13:30 pm
地点:国际经管学院会议室(诚明楼三层)
主办方:国际经济管理学院


摘要:We propose a Kronecker product model for correlation or covariance matrices in the large dimension case. The number of parameters of the model increases logarithmically with the dimension of the matrix. We propose a minimum distance (MD) estimator based on a log-linear property of the model, as well as a one-step estimator, which is a one-step approximation to the quasi-maximum likelihood estimator (QMLE). We establish the rate of convergence and a central limit theorem (CLT) for our estimators in the large dimensional case. A specification test and tools for Kronecker product model selection and inference are provided. In an Monte Carlo study where a Kronecker product model is correctly specified, our estimators exhibit superior performance. In an empirical application to portfolio choice for S&P500 daily returns, we demonstrate that certain Kronecker product models are good approximations to the general covariance matrix.

 

(日期:2018-11-12 作者: 来源:)