{"created":"2021-03-01T07:02:31.479729+00:00","id":42612,"links":{},"metadata":{"_buckets":{"deposit":"791a310e-4dc8-4252-b124-e0c152ad496a"},"_deposit":{"id":"42612","owners":[],"pid":{"revision_id":0,"type":"depid","value":"42612"},"status":"published"},"_oai":{"id":"oai:repository.dl.itc.u-tokyo.ac.jp:00042612"},"item_8_biblio_info_7":{"attribute_name":"\u66f8\u8a8c\u60c5\u5831","attribute_value_mlt":[{"bibliographicIssueDates":{"bibliographicIssueDate":"2013-10","bibliographicIssueDateType":"Issued"},"bibliographicVolumeNumber":"CIRJE-F-906","bibliographic_titles":[{"bibliographic_title":"Discussion paper series. CIRJE-F"}]}]},"item_8_description_13":{"attribute_name":"\u30d5\u30a9\u30fc\u30de\u30c3\u30c8","attribute_value_mlt":[{"subitem_description":"application/pdf","subitem_description_type":"Other"}]},"item_8_description_5":{"attribute_name":"\u6284\u9332","attribute_value_mlt":[{"subitem_description":"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.","subitem_description_type":"Abstract"}]},"item_8_description_6":{"attribute_name":"\u5185\u5bb9\u8a18\u8ff0","attribute_value_mlt":[{"subitem_description":"\u672c\u6587\u30d5\u30a3\u30eb\u306f\u30ea\u30f3\u30af\u5148\u3092\u53c2\u7167\u306e\u3053\u3068","subitem_description_type":"Other"}]},"item_8_publisher_20":{"attribute_name":"\u51fa\u7248\u8005","attribute_value_mlt":[{"subitem_publisher":"\u65e5\u672c\u7d4c\u6e08\u56fd\u969b\u5171\u540c\u30bb\u30f3\u30bf\u30fc"}]},"item_8_relation_25":{"attribute_name":"\u95a2\u4fc2URI","attribute_value_mlt":[{"subitem_relation_type_id":{"subitem_relation_type_id_text":"http://www.cirje.e.u-tokyo.ac.jp/research/dp/2013/2013cf906ab.html","subitem_relation_type_select":"URI"}}]},"item_8_source_id_10":{"attribute_name":"\u66f8\u8a8c\u30ec\u30b3\u30fc\u30c9ID","attribute_value_mlt":[{"subitem_source_identifier":"AA11450569","subitem_source_identifier_type":"NCID"}]},"item_8_text_21":{"attribute_name":"\u51fa\u7248\u8005\u5225\u540d","attribute_value_mlt":[{"subitem_text_value":"Center for International Research on the Japanese Economy"}]},"item_8_text_4":{"attribute_name":"\u8457\u8005\u6240\u5c5e","attribute_value_mlt":[{"subitem_text_value":"Faculty of Economics, University of Tokyo"},{"subitem_text_value":"Department of Statistics, University of Toronto"}]},"item_access_right":{"attribute_name":"\u30a2\u30af\u30bb\u30b9\u6a29","attribute_value_mlt":[{"subitem_access_right":"metadata only access","subitem_access_right_uri":"http://purl.org/coar/access_right/c_14cb"}]},"item_creator":{"attribute_name":"\u8457\u8005","attribute_type":"creator","attribute_value_mlt":[{"creatorNames":[{"creatorName":"Kubokawa, Tatsuya"}],"nameIdentifiers":[{"nameIdentifier":"98000","nameIdentifierScheme":"WEKO"}]},{"creatorNames":[{"creatorName":"Srivastrava, Muni S."}],"nameIdentifiers":[{"nameIdentifier":"98001","nameIdentifierScheme":"WEKO"}]}]},"item_keyword":{"attribute_name":"\u30ad\u30fc\u30ef\u30fc\u30c9","attribute_value_mlt":[{"subitem_subject":"Covariance matrix","subitem_subject_scheme":"Other"},{"subitem_subject":"high dimension","subitem_subject_scheme":"Other"},{"subitem_subject":"non-normal distribution","subitem_subject_scheme":"Other"},{"subitem_subject":"normal distribution","subitem_subject_scheme":"Other"},{"subitem_subject":"ridge-type estimator","subitem_subject_scheme":"Other"},{"subitem_subject":"risk function","subitem_subject_scheme":"Other"}]},"item_language":{"attribute_name":"\u8a00\u8a9e","attribute_value_mlt":[{"subitem_language":"eng"}]},"item_resource_type":{"attribute_name":"\u8cc7\u6e90\u30bf\u30a4\u30d7","attribute_value_mlt":[{"resourcetype":"technical report","resourceuri":"http://purl.org/coar/resource_type/c_18gh"}]},"item_title":"Optimal Ridge-type Estimators of Covariance Matrix in High Dimension","item_titles":{"attribute_name":"\u30bf\u30a4\u30c8\u30eb","attribute_value_mlt":[{"subitem_title":"Optimal Ridge-type Estimators of Covariance Matrix in High Dimension"}]},"item_type_id":"8","owner":"1","path":["9/7435/7436","62/7433/7434"],"pubdate":{"attribute_name":"\u516c\u958b\u65e5","attribute_value":"2014-01-16"},"publish_date":"2014-01-16","publish_status":"0","recid":"42612","relation_version_is_last":true,"title":["Optimal Ridge-type Estimators of Covariance Matrix in High Dimension"],"weko_creator_id":"1","weko_shared_id":null},"updated":"2021-03-02T02:12:29.209621+00:00"}