Search Results - subject:"covariance matrix"

SURE-tuned tapering estimation of large covariance matrices

Yi, Feng; Zou, Hui - In: Computational Statistics & Data Analysis 58 (2013) C, pp. 339-351

Bandable covariance matrices are often used to model the dependence structure of variables that follow a nature order. It has been shown that the tapering covariance estimator attains the optimal minimax rates of convergence for estimating large bandable covariance matrices. The estimation risk...

Persistent link: https://www.econbiz.de/10010595084

Monitoring the covariance matrix with fewer observations than variables

Maboudou-Tchao, Edgard M.; Agboto, Vincent - In: Computational Statistics & Data Analysis 64 (2013) C, pp. 99-112

monitor the covariance matrix. Most of these methods deal with a full rank covariance matrix, i.e., in a situation where the … estimated covariance matrix is singular. A new Shewhart-type chart for monitoring changes in the covariance matrix of a … used to monitor the covariance matrix with only one observation. The new control chart is based on using the graphical …

Persistent link: https://www.econbiz.de/10010666179

Covariance selection by thresholding the sample correlation matrix

Jiang, Binyan - In: Statistics & Probability Letters 83 (2013) 11, pp. 2492-2498

This article shows that when the nonzero coefficients of the population correlation matrix are all greater in absolute value than (C1logp/n)1/2 for some constant C1, we can obtain covariance selection consistency by thresholding the sample correlation matrix. Furthermore, the rate (logp/n)1/2 is...

Persistent link: https://www.econbiz.de/10010709069

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

Ledoit, Olivier; Wolf, Michael - 2013 - This version: March 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/10009747823

Nonparametric regression estimation with general parametric error covariance : a more efficient two-step estimator

Su, Liangjun; Ullah, Aman; Wang, Yun - In: Empirical economics : a journal of the Institute for … 45 (2013) 2, pp. 1009-1024

Persistent link: https://www.econbiz.de/10010188619

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 Nd … distribution of a suitably standardized sample covariance matrix obeys the semicircle law. Due to similarities of the semicircle … y is small. -- Test for covariance matrix ; High-dimensional data ; Spectral distribution ; Semicircle law ; Free …

Persistent link: https://www.econbiz.de/10009736371

A testing procedure for determining the number of factors in approximate factor models with large datasets

Kapetanios, George - 2005

The paradigm of a factor model is very appealing and has been used extensively in economic analyses. Underlying the factor model is the idea that a large number of economic variables can be adequately modelled by a small number of indicator variables. Throughout this extensive research activity...

Persistent link: https://www.econbiz.de/10010284186

A New Approach to Robust Inference in Cointegration

Jin, Sainan; Phillips, Peter C.B.; Sun, Yixiao - Cowles Foundation for Research in Economics, Yale University - 2005

A new approach to robust testing in cointegrated systems is proposed using nonparametric HAC estimators without truncation. While such HAC estimates are inconsistent, they still produce asymptotically pivotal tests and, as in conventional regression settings, can improve testing and inference....

Persistent link: https://www.econbiz.de/10005593449

Inequality, Poverty, and Growth; Cross-Country Evidence

Iradian, Garbis - International Monetary Fund (IMF) - 2005

This paper examines the empirical relationship between inequality and growth, and analyzes the impacts of growth, inequality, and government spending on poverty reduction. A new panel dataset has been assembled on inequality and poverty that reduces measurement error and ensures comparability...

Persistent link: https://www.econbiz.de/10005263901

A Krylov subspace approach to large portfolio optimization

Bajeux-Besnainou, Isabelle; Bandara, Wachindra; Bura, … - In: Journal of Economic Dynamics and Control 36 (2012) 11, pp. 1688-1699

requires the inversion of the singular sample covariance matrix of security returns. We introduce the Break-Down Free … and the sample covariance matrix is highly singular. …

Persistent link: https://www.econbiz.de/10011051937