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Comparison among different shrinkage covariance estimators under multicollinearity and high dimensions conditions
المؤلف
المصدر
Al Kut Journal of Economic and Administrative Sciences
العدد
المجلد 2019، العدد 31 (31 مارس/آذار 2019)، ص ص. 201-210، 10ص.
الناشر
جامعة واسط كلية الإدارة و الاقتصاد
تاريخ النشر
2019-03-31
دولة النشر
العراق
عدد الصفحات
10
التخصصات الرئيسية
الملخص EN
Covariance matrix estimation is a very important process for many multivariate applications like canonical analysis and multivariate hypotheses testing.
Many data conditions require unusual estimation for covariance matrix that be different from the sample covariance matrix because the last (latter) is very weak under conditions like multicollinearity and high dimensions.
Here, we introduce a comparison among three kinds of covariance matrix estimators under multicollinearity and high dimension conditions.
Three estimators were submitted for covariance matrix: the Oracle estimator(OE), Chen estimator CE and sample covariance estimator MLE under Fractional Brownian motion FBM structure covariance matrix to simulate the multicollinearity and the high dimensions conditions.
A comparison was made by using Frobenius distance as a measure of goodness for estimators.
Covariance matrix estimation is a very important process for many multivariate applications like canonical analysis and multivariate hypotheses testing.
Many data conditions require unusual estimation for covariance matrix that be different from the sample covariance matrix because the last (latter) is very weak under conditions like multicollinearity and high dimensions.
Here, we introduce a comparison among three kinds of covariance matrix estimators under multicollinearity and high dimension conditions.
Three estimators were submitted for covariance matrix: the Oracle estimator(OE), Chen estimator CE and sample covariance estimator MLE under Fractional Brownian motion FBM structure covariance matrix to simulate the multicollinearity and the high dimensions conditions.
A comparison was made by using Frobenius distance as a measure of goodness for estimators.
نمط استشهاد جمعية علماء النفس الأمريكية (APA)
Salih, Ahmad Mahdi. 2019. Comparison among different shrinkage covariance estimators under multicollinearity and high dimensions conditions. Al Kut Journal of Economic and Administrative Sciences،Vol. 2019, no. 31, pp.201-210.
https://search.emarefa.net/detail/BIM-1206717
نمط استشهاد الجمعية الأمريكية للغات الحديثة (MLA)
Salih, Ahmad Mahdi. Comparison among different shrinkage covariance estimators under multicollinearity and high dimensions conditions. Al Kut Journal of Economic and Administrative Sciences No. 31 (2019), pp.201-210.
https://search.emarefa.net/detail/BIM-1206717
نمط استشهاد الجمعية الطبية الأمريكية (AMA)
Salih, Ahmad Mahdi. Comparison among different shrinkage covariance estimators under multicollinearity and high dimensions conditions. Al Kut Journal of Economic and Administrative Sciences. 2019. Vol. 2019, no. 31, pp.201-210.
https://search.emarefa.net/detail/BIM-1206717
نوع البيانات
مقالات
لغة النص
الإنجليزية
الملاحظات
-
رقم السجل
BIM-1206717
قاعدة معامل التأثير والاستشهادات المرجعية العربي "ارسيف Arcif"
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