Monday, February 27, 2017
3:00 PM - 4:00 PM
VC 2004
Event Type
Speaker or Lecture: Featured
Contact
Agustin, Marcus
618-650-3681
Sponsor
Marcus Agustin
Link
https://ems.siue.edu/MasterCalendar/EventDetails.aspx?EventDetailId=120224
The Department of Mathematics and Statistics
would like to invite CAS faculty and students to a special colloquium talk on
Monday, February 27th at 3pm. The speaker is Beidi Qiang from the University of
South Carolina and her talk is titled Improved Simultaneous Estimation of
Location via Shrinkage Ideas. Please see below for more information about the
colloquium talk.
Improved Simultaneous Estimation of Location
Via Shrinkage Ideas
Abstract
In decision theory, when several parameters
need to be estimated simultaneously, many standard estimators can be improved,
in terms of a global loss function. The problem of finding such estimators has
been well studied in the literature, but mostly under parametric settings,
which is inappropriate under heavy-tailed distributions. In this presentation a
robust simultaneous estimator of location are proposed using shrinkage ideas.
Another shrinkage type estimator is developed for comparison via empirical
nonparametric Bayesian approach. The proposed estimators do not assume a
specific parametric distribution and they do not require the existence of
finite moments. The performance of estimators is examined in simulation
studies. As an application, the performance of estimators is also demonstrated
using stock returns of companies in the Dow Jones Industrial Average.