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Department seminar by Severien Nkurunziza, University of WindsorExport this event to calendar

Thursday, October 13, 2016 — 4:00 PM EDT

Efficient Estimators in Regression Models with Change-points

In this talk, we present an estimation problem of the matrix of the regression coefficients in multivariate linear models with unknown change-points. In particular, we consider the scenario where the regression coefficients may satisfy uncertain restriction. Under general conditions, we propose a class of estimators which includes as special cases shrinkage estimators (SEs) as well as the unrestricted estimator (UE) and the restricted estimator (RE). We also establish a more general sufficient condition for the SEs to dominate the UE. To this end, we extend some results underlying the multidimensional version of Mixingale Central Limit Theorem as well as some important identities for deriving the risk function of SEs. Finally, we present some simulation studies, which corroborate the theoretical findings.

This is a joint with Dr. Fuqi Chen.

Location 
M3 - Mathematics 3
3127

,
Canada
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