Abstract
We study the estimation of the parametric components of single and multiple index volatility models. Using the first- and second-order Stein’s identities, we develop methods that are applicable for the estimation of the variance index in the high-dimensional setting requiring finite moment condition, which allows for heavy-tailed data. Our approach complements the existing literature in the low-dimensional setting, while relaxing the conditions on estimation, and provides a novel approach in the high-dimensional setting. We prove that the statistical rate of convergence of our variance index estimators consists of a parametric rate and a nonparametric rate, where the latter appears from the estimation of the mean link function. However, under standard assumptions, the parametric rate dominates the rate of convergence and our results match the minimax optimal rate for the mean index estimation. Simulation results illustrate finite sample properties of our methodology and back our theoretical conclusions.
Sen Na
Postdoc in Statistics and ICSI
Sen Na is a postdoctoral scholar in the Statistics department and ICSI at UC Berkeley. His research interests broadly lie in the mathematical foundations of data science, with topics including high-dimensional statistics, graphical models, semiparametric models, optimal control, and large-scale and stochastic nonlinear optimization. He is also interested in applying machine learning methods in biology, neuroscience, and engineering.
Mladen Kolar
Associate Professor of Econometrics and Statistics
Mladen Kolar is an Associate Professor of Econometrics and Statistics at the University of Chicago Booth School of Business. His research is focused on high-dimensional statistical methods, graphical models, varying-coefficient models and data mining, driven by the need to uncover interesting and scientifically meaningful structures from observational data.