Search Results - subject:"Covariance matrix"

How performance of risk-based strategies is modified by socially responsible investment universe?

Bertrand, Philippe; Lapointe, Vincent - In: International Review of Financial Analysis 38 (2015) C, pp. 175-190

Risk-based allocation strategies, also known as Smart Beta allocations, define the weights of assets in portfolios as functions of the individual and common asset risk. In this paper we focus on the Minimum Variance (MV), Maximum Diversification (MD), Equal Risk Contribution (ERC) and...

Persistent link: https://www.econbiz.de/10011264498

Effect of environmental stress on regulation of gene expression in the yeast

Gross, Eitan - In: Physica A: Statistical Mechanics and its Applications 430 (2015) C, pp. 224-235

Several mathematical models have been proposed to predict the activation state of a transcription factor (TF) from the expression levels of its target genes. This inference problem is complicated however due to the fact that different genes may be regulated by different activation schemes...

Persistent link: https://www.econbiz.de/10011264539

Nonparametric Stein-type shrinkage covariance matrix estimators in high-dimensional settings

Touloumis, Anestis - In: Computational Statistics & Data Analysis 83 (2015) C, pp. 251-261

Estimating a covariance matrix is an important task in applications where the number of variables is larger than the … number of observations. Shrinkage approaches for estimating a high-dimensional covariance matrix are often employed to … circumvent the limitations of the sample covariance matrix. A new family of nonparametric Stein-type shrinkage covariance …

Persistent link: https://www.econbiz.de/10011117708

Optimal asymptotic least squares estimation in a singular set-up

Diez de los Rios, Antonio - In: Economics Letters 128 (2015) C, pp. 83-86

In this note, I extend the optimal asymptotic least squares estimation framework to deal with singularities in the asymptotic covariance of the distance function. Further, the relationship between the asymptotic least squares and maximum likelihood estimation frameworks in such a singular set-up...

Persistent link: https://www.econbiz.de/10011208454

Reliability constrained unit commitment with combined hydro and thermal generation embedded using self-learning group search optimizer

Zheng, J.H.; Chen, J.J.; Wu, Q.H.; Jing, Z.X. - In: Energy 81 (2015) C, pp. 245-254

developed from the GSO (group search optimizer), applying adaptive covariance matrix to design the optimum searching strategy …

Persistent link: https://www.econbiz.de/10011209559

A Geometrical Framework for Covariance Matrices of Continuous and Categorical Variables

Vernizzi, Graziano; Nakai, Miki - In: Sociological Methods & Research 44 (2015) 1, pp. 48-79

It is well known that a categorical random variable can be represented geometrically by a simplex. Accordingly, several measures of association between categorical variables have been proposed and discussed in the literature. Moreover, the standard definitions of covariance and correlation...

Persistent link: https://www.econbiz.de/10011183226

Spatial sign correlation

Dürre, Alexander; Vogel, Daniel; Fried, Roland - In: Journal of Multivariate Analysis 135 (2015) C, pp. 89-105

A robust correlation estimator based on the spatial sign covariance matrix (SSCM) is proposed. We derive its asymptotic …

Persistent link: https://www.econbiz.de/10011189568

Covariance matrices associated to general moments of a random vector

Lv, Songjun - In: Journal of Multivariate Analysis 134 (2015) C, pp. 61-70

It turns out that there exist general covariance matrices associated not only to a random vector itself but also to its general moments. In this paper we introduce and characterize general covariance matrices of a random vector that are associated to some important general moments, which are...

Persistent link: https://www.econbiz.de/10011189578

A Gaussian pseudolikelihood approach for quantile regression with repeated measurements

Fu, Liya; Wang, You-Gan; Zhu, Min - In: Computational Statistics & Data Analysis 84 (2015) C, pp. 41-53

To enhance the efficiency of regression parameter estimation by modeling the correlation structure of correlated binary error terms in quantile regression with repeated measurements, we propose a Gaussian pseudolikelihood approach for estimating correlation parameters and selecting the most...

Persistent link: https://www.econbiz.de/10011191034

Influence measure based on probabilistic behavior of regression estimators

Kim, Myung - In: Computational Statistics 30 (2015) 1, pp. 97-105

coefficients computed with and without a single specific observation. The covariance matrix of the above sampling distribution … along the axis associated with the nonnull eigenvalue of the covariance matrix. The deviation of the regression coefficients … the covariance matrix which can be used for investigating the influence. The distance is normalized using the associated …

Persistent link: https://www.econbiz.de/10011241303