Nonparametric shrinkage estimator for covariance matrix under heterogeneity and high dimensions conditions
Author
Source
Al Kut Journal of Economic and Administrative Sciences
Issue
Vol. 2018, Issue 29 (30 Sep. 2018), pp.19-28, 10 p.
Publisher
University of Wasit College of Administration and Economics
Publication Date
2018-09-30
Country of Publication
Iraq
No. of Pages
10
Main Subjects
Economics & Business Administration
Topics
Abstract EN
In this paper, we discuss different kinds of covariance matrix estimators and their behavior under the conditions of heterogeneity and high dimensions.
Covariance matrix estimation that is well-conditioned matrix is very important procedure for many statistical applications which require that.
Sometimes, the common estimator of covariance matrix - the sample covariance matrix- suffers from ill conditions and in many cases be invertible and without good qualities of estimator as dimensions of matrix go larger.
Here, we view a shrinkage estimator for covariance matrix which is a combination of unbiased estimator and minimum variance estimator with different types of shrinkage factors parametric and non-parametric ones.
Simulation study have been made by using Heterogeneous Autoregressive Process ARH(1) as a structure covariance matrix for population, moreover, a comparison has been made among different types of covariance estimators by using minimum mean square errors In this paper, we discuss different kinds of covariance matrix estimators and their behavior under the conditions of heterogeneity and high dimensions.
Covariance matrix estimation that is well-conditioned matrix is very important procedure for many statistical applications which require that.
Sometimes, the common estimator of covariance matrix - the sample covariance matrix- suffers from ill conditions and in many cases be invertible and without good qualities of estimator as dimensions of matrix go larger.
Here, we view a shrinkage estimator for covariance matrix which is a combination of unbiased estimator and minimum variance estimator with different types of shrinkage factors parametric and non-parametric ones.
Simulation study have been made by using Heterogeneous Autoregressive Process ARH(1) as a structure covariance matrix for population, moreover, a comparison has been made among different types of covariance estimators by using minimum mean square errors MMSE.
American Psychological Association (APA)
Salih, Ahmad Mahdi. 2018. Nonparametric shrinkage estimator for covariance matrix under heterogeneity and high dimensions conditions. Al Kut Journal of Economic and Administrative Sciences،Vol. 2018, no. 29, pp.19-28.
https://search.emarefa.net/detail/BIM-1206295
Modern Language Association (MLA)
Salih, Ahmad Mahdi. Nonparametric shrinkage estimator for covariance matrix under heterogeneity and high dimensions conditions. Al Kut Journal of Economic and Administrative Sciences Vol. 2019, no. 29 (Sep. 2018), pp.19-28.
https://search.emarefa.net/detail/BIM-1206295
American Medical Association (AMA)
Salih, Ahmad Mahdi. Nonparametric shrinkage estimator for covariance matrix under heterogeneity and high dimensions conditions. Al Kut Journal of Economic and Administrative Sciences. 2018. Vol. 2018, no. 29, pp.19-28.
https://search.emarefa.net/detail/BIM-1206295
Data Type
Journal Articles
Language
English
Notes
-
Record ID
BIM-1206295