Search Results - subject:"covariance matrix"

Estimating Individual Mahalanobis Distance in High-Dimensional Data

Dai, Deliang; Holgersson, Thomas; Karlsson, Peter - Centre of Excellence for Science and Innovation … - 2014

covariance matrix on which the MD depends. This is then used to identify the optimal estimate of the inverse covariance matrix …

Persistent link: https://www.econbiz.de/10011019085

Joint Confidence Sets for Structural Impulse Responses

Inoue, Atsushi; Kilian, Lutz - Southern Methodist University, Department of Economics - 2014

Many users of structural VAR models are primarily interested in learning about the shape of structural impulse response functions. This requires joint inference about sets of structural impulse responses, allowing for dependencies across time as well as across response functions. Such joint...

Persistent link: https://www.econbiz.de/10010746938

Heteroskedasticity-and-autocorrelation-consistent bootstrapping

Davidson, Russell; Monticini, Andrea - 2014

In many, if not most, econometric applications, it is impossible to estimate consistently the elements of the white-noise process or processes that underlie the DGP. A common example is a regression model with heteroskedastic and/or autocorrelated disturbances,where the heteroskedasticity and...

Persistent link: https://www.econbiz.de/10011774249

Network Proximity and Business Practices in African Manufacturing

Fafchamps, Marcel; Söderbom, Måns - In: The World Bank Economic Review 28 (2014) 1, pp. 99-129

Patterns of correlation in innovation and contractual practices among manufacturing firms in Ethiopia and Sudan are documented. Network data that indicate whether any two firms in the utilized sample do business with each other, buy inputs from a common supplier, or sell output to a common...

Persistent link: https://www.econbiz.de/10015360702

Empirical studies in a multivariate non-stationary, nonparametric regression model for financial returns

Gürtler, Marc; Rauh, Ronald - 2013

-stationary model is a kernel regression for pairwise covariances and the covariance matrix. Residual terms are fitted with an …

Persistent link: https://www.econbiz.de/10010311041

A Jarque-Bera test for sphericity of a large-dimensional covariance matrix

Glombek, Konstantin - 2013

This article provides a new test for sphericity of the covariance matrix of a d-dimensional multinormal population X … eigenvalue distribution of a suitably standardized sample covariance matrix obeys the semicircle law. Due to similarities of the …

Persistent link: https://www.econbiz.de/10010312043

Spectrum estimation: A unified framework for covariance matrix estimation and PCA in large dimensions

Ledoit, Olivier; Wolf, Michael - 2013

Covariance matrix estimation and principal component analysis (PCA) are two cornerstones of multivariate analysis … the sample covariance matrix. The optimal nonlinear shrinkage formula depends on unknown population quantities and is thus … asymptotic grounds. A key tool to this end is consistent estimation of the set of eigenvalues of the population covariance matrix …

Persistent link: https://www.econbiz.de/10010316930

Teoría de Markowitz con metodología EWMA para la toma de decisión sobre cómo invertir su dinero

Betancourt Bejarano, Katherine; García Díaz, Carlos Mario - In: Atlantic Review of Economics 1 (2013)

Financial markets currently offer various investment alternatives, including a variety of assets, which are differentiated by the level of profitability, liquidity, volatility and trading volume associated with them, among other characteristics of the market; it which implies that investors use...

Persistent link: https://www.econbiz.de/10011536962

Finding the Nearest Valid Covariance Matrix: an FX Market Case

Bouev, Maxim; Manaev, Ilia; Minabutdinov, Aleksei - Department of Economics, European University at St. … - 2013

We consider the problem of finding a valid covariance matrix in the FX market given an initial non-PSD estimate of such …

Persistent link: https://www.econbiz.de/10011161265

Spectrum estimation: a unified framework for covariance matrix estimation and PCA in large dimensions

Ledoit, Olivier; Wolf, Michael - Institut für Volkswirtschaftslehre, … - 2013

Persistent link: https://www.econbiz.de/10010817245