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Estimation of Covariance and Precision Matrices in High Dimension
http://hdl.handle.net/2261/52149
http://hdl.handle.net/2261/52149c29d3d9d-0dcd-473a-a8ef-d83e28fff980
| Item type | テクニカルレポート / Technical Report(1) | |||||
|---|---|---|---|---|---|---|
| 公開日 | 2013-05-31 | |||||
| タイトル | ||||||
| タイトル | Estimation of Covariance and Precision Matrices in High Dimension | |||||
| 言語 | ||||||
| 言語 | eng | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | Asymptotic expansion | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | covariance matrix | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | high dimension | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | Moore-Penrose inverse | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | multivariate normal distribution | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | point estimation | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | precision matrix | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | ridge estimator | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | risk comparison | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | Stein-Haff identity | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | Stein loss | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | Wishart distribution | |||||
| 資源タイプ | ||||||
| 資源タイプ識別子 | http://purl.org/coar/resource_type/c_18gh | |||||
| 資源タイプ | technical report | |||||
| アクセス権 | ||||||
| アクセス権 | metadata only access | |||||
| アクセス権URI | http://purl.org/coar/access_right/c_14cb | |||||
| 著者 |
Kubokawa, Tatsuya
× Kubokawa, Tatsuya× Inoue, Akira |
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| 著者所属 | ||||||
| 値 | Department of Economics, University of Tokyo | |||||
| 著者所属 | ||||||
| 値 | Graduate School of Economics, University of Tokyo | |||||
| 抄録 | ||||||
| 内容記述タイプ | Abstract | |||||
| 内容記述 | The problem of estimating covariance and precision matrices of multivariate normal distributions is addressed when both the sample size and the dimension of variables are large. The estimation of the precision matrix is important in various statistical inference including the Fisher linear discriminant analysis, confidence region based on the Mahalanobis distance and others. A standard estimator is the inverse of the sample covariance matrix, but it may be instable or can not be defined in the high dimension. Although (adaptive) ridge type estimators are alternative procedures which are useful and stable for large dimension. However, we are faced with questions about how to choose ridge parameters and their estimators and how to set up asymptotic order in ridge functions in high dimensional cases. In this paper, we consider general types of ridge estimators for covariance and precision matrices, and derive asymptotic expansions of their risk functions. Then we suggest the ridge functions so that the second order terms of risks of ridge estimators are smaller than those of risks of the standard estimators. | |||||
| 内容記述 | ||||||
| 内容記述タイプ | Other | |||||
| 内容記述 | 本文フィルはリンク先を参照のこと | |||||
| 書誌情報 |
Discussion paper series. CIRJE-F 巻 CIRJE-F-855, 発行日 2012-07 |
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| 書誌レコードID | ||||||
| 収録物識別子タイプ | NCID | |||||
| 収録物識別子 | AA11450569 | |||||
| フォーマット | ||||||
| 内容記述タイプ | Other | |||||
| 内容記述 | application/pdf | |||||
| 日本十進分類法 | ||||||
| 主題Scheme | NDC | |||||
| 主題 | 335 | |||||
| 出版者 | ||||||
| 出版者 | 日本経済国際共同センター | |||||
| 出版者別名 | ||||||
| 値 | Center for International Research on the Japanese Economy | |||||
| 関係URI | ||||||
| 識別子タイプ | URI | |||||
| 関連識別子 | http://www.cirje.e.u-tokyo.ac.jp/research/dp/2012/2012cf855ab.html | |||||
