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20181122 Oliver Linton:Estimation of a parsimonious multiplicative covariance or correlation matrix model
时间:2018-11-17

报告时间20181122 1030-1130

报告地点:明德主楼1016会议室

报告题目Estimation of a parsimonious multiplicative covariance

or correlation matrix model


报告摘要

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.


个人简介

Oliver Linton教授,现任英国剑桥大学教授,中国人民大学统计与大数据研究院特聘教授,《Econometric Theory》联合主编,FMG(Financial Markets Group)成员,在计量经济学领域有丰富的理论和实践经验。据国际权威计量经济学期刊《Econometric Theory》所做的“世界计量经济学家排名:1989-2005”,Oliver Linton教授在2000-2005期间位列三甲。其主要研究领域为理论计量经济学、非参数和半参数方法以及实证金融。曾在包括EconometricaJournal of EconometricsEconometric theory等众多国际顶级经济学刊物上发表学术成果。