Title: Estimating variance matrices
Speaker: Prof. Karim Abadir
Affiliation: Imperial College Business School
Location: Room 218 Huxley Building
Time: 2:00pm
Abstract. This talk introduces a new method for estimating variance matrices. Starting from the orthogonal decomposition of the sample variance matrix, we exploit the fact that orthogonal matrices are never ill-conditioned and therefore focus on improving the estimation of the eigenvalues. We estimate the eigenvectors from just a fraction of the data, then use them to transform the data into approximately orthogonal series that deliver a well-conditioned estimator (by construction), even when there are fewer observations than dimensions. We also show that our estimator has lower error norms than the traditional one. Our estimator is design-free: we make no assumptions on the distribution of the random sample or on any parametric structure the variance matrix may have. Simulations confirm our theoretical results and they also show that our simple estimator does very well in comparison with other existing methods, especially when the data are generated from fat-tailed densities.
About the speaker. Karim Abadir is the Chair of Financial Econometrics at Imperial College, London. He obtained his DPhil from Oxford University. His MA (Economics) and BA (Major in Economics, Minor in Business) are from the American University in Cairo. He started his academic career as a lecturer in Economics at Lincoln College, Oxford. He then joined the University of Exeter as a Senior Lecturer in Statistics and Econometrics, rising to the position of Reader in Econometrics. From 1996-2005, he held a Chair in Econometrics and Statistics at the University of York, joint between the Departments of Mathematics and Economics.
He is credited with having solved in his DPhil a major long-standing problem in Mathematical Statistics and Time Series that was open since the 1950’s. More recently, he has predicted the timing of the 2008 recession a year in advance, and the different timings of the recoveries in various Western countries.
He is a founding member of the liberal party Al Masreyeen Al Ahrrar (translates as Free/Liberal Egyptians), established in 2011.