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Optimal Ridge-type Estimators of Covariance Matrix in High Dimension
http://hdl.handle.net/2261/55626
http://hdl.handle.net/2261/556261bf8e146-8cfc-4f23-b99e-5dece248b8a4
Item type | テクニカルレポート / Technical Report(1) | |||||
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公開日 | 2014-01-16 | |||||
タイトル | ||||||
タイトル | Optimal Ridge-type Estimators of Covariance Matrix in High Dimension | |||||
言語 | ||||||
言語 | eng | |||||
キーワード | ||||||
主題 | Covariance matrix | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | high dimension | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | non-normal distribution | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | normal distribution | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | ridge-type estimator | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | risk function | |||||
主題Scheme | Other | |||||
資源タイプ | ||||||
資源 | http://purl.org/coar/resource_type/c_18gh | |||||
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× Srivastrava, Muni S. |
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著者所属 | ||||||
著者所属 | Faculty of Economics, University of Tokyo | |||||
著者所属 | ||||||
著者所属 | Department of Statistics, University of Toronto | |||||
抄録 | ||||||
内容記述タイプ | Abstract | |||||
内容記述 | The problem of estimating the covariance matrix of normal and non-normal distributions is addressed when both the sample size and the dimension of covariance matrix tend to infinity. In this paper, we consider a class of ridge-type estimators which are linear combinations of the unbiased estimator and the identity matrix multiplied by a scalor statistic, and we derive a leading term of their risk functions relative to a quadratic loss function. Within this class, we obtain the optimal ridge-type estimator by minimizing the leading term in the risk approximation. It is interesting to note that the optimal weight is based on a statistic for testing sphericity of the covariance matrix. | |||||
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-906, 発行日 2013-10 |
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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 | |||||
出版者 | ||||||
出版者 | 日本経済国際共同センター | |||||
出版者別名 | ||||||
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/2013/2013cf906ab.html |