Related papers: Nonlinear shrinkage estimation of large-dimensiona…
Computing the inverse covariance matrix (or precision matrix) of large data vectors is crucial in weak lensing (and multi-probe) analyses of the large scale structure of the universe. Analytically computed covariances are noise-free and…
We study the consistency of sample mean-variance portfolios of arbitrarily high dimension that are based on Bayesian or shrinkage estimation of the input parameters as well as weighted sampling. In an asymptotic setting where the number of…
In this work, the estimation of the multivariate normal mean by different classes of shrinkage estimators is investigated. The risk associated with the balanced loss function is used to compare two estimators. We start by considering…
We propose a flexible dual functional factor model for modelling high-dimensional functional time series. In this model, a high-dimensional fully functional factor parametrisation is imposed on the observed functional processes, whereas a…
This paper considers a linear regression model with an endogenous regressor which arises from a nonlinear transformation of a latent variable. It is shown that the corresponding coefficient can be consistently estimated without external…
This paper tackles the problem of robust covariance matrix estimation when the data is incomplete. Classical statistical estimation methodologies are usually built upon the Gaussian assumption, whereas existing robust estimation ones assume…
Linear thresholding models postulate that the conditional distribution of a response variable in terms of covariates differs on the two sides of a (typically unknown) hyperplane in the covariate space. A key goal in such models is to learn…
We consider shrinkage estimation of higher order Hilbert space valued Bochner integrals in a non-parametric setting. We propose estimators that shrink the $U$-statistic estimator of the Bochner integral towards a pre-specified target…
A robust estimator is proposed for the parameters that characterize the linear regression problem. It is based on the notion of shrinkages, often used in Finance and previously studied for outlier detection in multivariate data. A thorough…
In solving simulation-based stochastic root-finding or optimization problems that involve rare events, such as in extreme quantile estimation, running crude Monte Carlo can be prohibitively inefficient. To address this issue, importance…
A new wave of work on covariance cleaning and nonlinear shrinkage has delivered asymptotically optimal analytical solutions for large covariance matrices. The same framework has been generalized to empirical cross-covariance matrices, whose…
Recent advances in quasi-Monte Carlo integration have shown that for linearly scrambled digital net estimators, the convergence rate can be dramatically improved by taking the median rather than the mean of multiple independent replicates.…
Given a full rank matrix $X$ with more columns than rows, consider the task of estimating the pseudo inverse $X^+$ based on the pseudo inverse of a sampled subset of columns (of size at least the number of rows). We show that this is…
We study the asymptotic properties of the adaptive Lasso in cointegration regressions in the case where all covariates are weakly exogenous. We assume the number of candidate I(1) variables is sub-linear with respect to the sample size (but…
In this paper, we consider the interference rejection combining (IRC) receiver, which improves the cell-edge user throughput via suppressing inter-cell interference and requires estimating the covariance matrix including the inter-cell…
Estimation of a precision matrix (i.e., inverse covariance matrix) is widely used to exploit conditional independence among continuous variables. The influence of abnormal observations is exacerbated in a high dimensional setting as the…
This paper presents a practical and simple fully nonparametric multivariate smoothing procedure that adapts to the underlying smoothness of the true regression function. Our estimator is easily computed by successive application of existing…
The comovement phenomenon in financial markets creates decision scenarios with positively correlated asset returns. This paper addresses covariance matrix estimation under such conditions, motivated by observations of significant positive…
We propose a Kronecker product model for correlation or covariance matrices in the large dimensional case. The number of parameters of the model increases logarithmically with the dimension of the matrix. We propose a minimum distance (MD)…
This article studies the limiting behavior of a class of robust population covariance matrix estimators, originally due to Maronna in 1976, in the regime where both the number of available samples and the population size grow large. Using…