Search Results - subject:"covariance matrices"

Gaussian fluctuations for sample covariance matrices with dependent data

Friesen, Olga; Löwe, Matthias; Stolz, Michael - In: Journal of Multivariate Analysis 114 (2013) C, pp. 270-287

It is known (Hofmann-Credner and Stolz (2008) [4]) that the convergence of the mean empirical spectral distribution of a sample covariance matrix Wn=1/nYnYnt to the Marčenko–Pastur law remains unaffected if the rows and columns of Yn exhibit some dependence, where only the growth of the...

Persistent link: https://www.econbiz.de/10011042045

An alternative REML estimation of covariance matrices in linear mixed models

Li, Erning; Pourahmadi, Mohsen - In: Statistics & Probability Letters 83 (2013) 4, pp. 1071-1077

We propose a data-driven procedure for modeling covariance matrices in linear mixed-effects models with minimal … response variable. The approach makes it possible for the first time to disentangle the covariance matrices and model them …

Persistent link: https://www.econbiz.de/10010662331

Distribution-free tests of mean vectors and covariance matrices for multivariate paired data

Li, Erning; Lim, Johan; Kim, Kyunga; Lee, Shin-Jae - In: Metrika 75 (2012) 6, pp. 833-854

We study a permutation procedure to test the equality of mean vectors, homogeneity of covariance matrices, or … simultaneous equality of both mean vectors and covariance matrices in multivariate paired data. We propose to use two test … statistics for the equality of mean vectors and the homogeneity of covariance matrices, respectively, and combine them to test …

Persistent link: https://www.econbiz.de/10010896491

A note on a Marčenko–Pastur type theorem for time series

Yao, Jianfeng - In: Statistics & Probability Letters 82 (2012) 1, pp. 22-28

In this note we develop an extension of the Marčenko–Pastur theorem to time series model with temporal correlations. The limiting spectral distribution (LSD) of the sample covariance matrix is characterised by an explicit equation for its Stieltjes transform depending on the spectral density...

Persistent link: https://www.econbiz.de/10011040045

On sample eigenvalues in a generalized spiked population model

Bai, Zhidong; Yao, Jianfeng - In: Journal of Multivariate Analysis 106 (2012) C, pp. 167-177

In the spiked population model introduced by Johnstone (2001) [11], the population covariance matrix has all its eigenvalues equal to unit except for a few fixed eigenvalues (spikes). The question is to quantify the effect of the perturbation caused by the spike eigenvalues. Baik and Silverstein...

Persistent link: https://www.econbiz.de/10010576492

Explicit estimators under m-dependence for a multivariate normal distribution

Ohlson, Martin; Andrushchenko, Zhanna; Rosen, Dietrich - In: Annals of the Institute of Statistical Mathematics 63 (2011) 1, pp. 29-42

Persistent link: https://www.econbiz.de/10008925559

High-dimensional covariance forecasting for short intra-day horizons

Oomen, Roel - In: Quantitative Finance 10 (2010) 10, pp. 1173-1185

forecasting high-dimensional covariance matrices for short intra-day horizons. Based on a novel evaluation methodology, and …

Persistent link: https://www.econbiz.de/10008675078

Separating a mixture of two normals with proportional covariances

Reyen, Salem; Miller, John; Wegman, Edward - In: Metrika 70 (2009) 3, pp. 297-314

Persistent link: https://www.econbiz.de/10005015021

Noise sensitivity of portfolio selection in constant conditional correlation GARCH models

Varga-Haszonits, I.; Kondor, I. - In: Physica A: Statistical Mechanics and its Applications 385 (2007) 1, pp. 307-318

This paper investigates the efficiency of minimum variance portfolio optimization for stock price movements following the Constant Conditional Correlation GARCH process proposed by Bollerslev. Simulations show that the quality of portfolio selection can be improved substantially by computing...

Persistent link: https://www.econbiz.de/10010874019

Estimated correlation matrices and portfolio optimization

Pafka, Szilárd; Kondor, Imre - In: Physica A: Statistical Mechanics and its Applications 343 (2004) C, pp. 623-634

Correlations of returns on various assets play a central role in financial theory and also in many practical applications. From a theoretical point of view, the main interest lies in the proper description of the structure and dynamics of correlations, whereas for the practitioner the emphasis...

Persistent link: https://www.econbiz.de/10011064343