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  • Search: subject:"spiked covariance"
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Year of publication
Subject
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Correlation 2 Estimation theory 2 Factor analysis 2 Faktorenanalyse 2 Korrelation 2 Principal component analysis 2 Schätztheorie 2 Spiked covariance model 2 Time series analysis 2 Zeitreihenanalyse 2 reduced-rank process 2 spiked covariance 2 spiked covariance model 2 Consistency and strong inconsistency 1 General Dynamic Factor Models 1 Geometric representation 1 HDLSS asymptotics 1 HDLSS geometric representation 1 Hauptkomponentenanalyse 1 High Dimension Low Sample Size 1 High-dimensional time series 1 Multivariate Analyse 1 Multivariate analysis 1 Principal Component Analysis 1 Strongly Inconsistent 1 Subspace Consistent 1 Theorie 1 Theory 1 asymptotic power 1 contiguity 1 factors plus sparsity structure 1 general dynamic factor model 1 high dimensionality 1 high-dimensional time series 1 large dimentionality 1 model selection 1 nonsparse coefficient vectors 1 power enveloppe 1 principal component analysis 1 sphericity tests 1
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Online availability
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Free 3 Undetermined 3 CC license 1
Type of publication
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Article 4 Book / Working Paper 2
Type of publication (narrower categories)
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Article in journal 2 Aufsatz in Zeitschrift 2 Arbeitspapier 1 Graue Literatur 1 Non-commercial literature 1 Working Paper 1
Language
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English 3 Undetermined 3
Author
All
Hallin, Marc 3 Jung, Sungkyu 1 Lee, Myung Hee 1 Lin, Wei 1 Lv, Jinchi 1 Marron, J.S. 1 Moreira J., Marcelo 1 Onatski, Alexei 1 Sen, Arusharka 1 Zheng, Zemin 1
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Institution
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European Centre for Advanced Research in Economics and Statistics (ECARES), Solvay Brussels School of Economics and Management 1
Published in...
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Journal of Multivariate Analysis 2 ECARES working paper 1 Econometrics : open access journal 1 Operations research 1 Working Papers ECARES 1
Source
All
ECONIS (ZBW) 3 RePEc 3
Showing 1 - 6 of 6
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Manfred Deistler and the general-dynamic-factor-model approach to the statistical analysis of high-dimensional time series
Hallin, Marc - In: Econometrics : open access journal 10 (2022) 4, pp. 1-9
For more than half a century, Manfred Deistler has been contributing to the construction of the rigorous theoretical foundations of the statistical analysis of time series and more general stochastic processes. Half a century of unremitting activity is not easily summarized in a few pages. In...
Persistent link: https://www.econbiz.de/10013533262
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Manfred Deistler and the general dynamic factor model approach to the analysis of high-dimensional time series
Hallin, Marc - 2022
Persistent link: https://www.econbiz.de/10013415114
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Nonsparse learning with latent variables
Zheng, Zemin; Lv, Jinchi; Lin, Wei - In: Operations research 69 (2021) 1, pp. 346-359
Persistent link: https://www.econbiz.de/10012523525
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Signal Detection in High Dmension: The Multispiked Case
Hallin, Marc; Onatski, Alexei; Moreira J., Marcelo - European Centre for Advanced Research in Economics and … - 2012
This paper deals with the local asymptotic structure, in the sense ofLe Cam’s asymptotic theory of statistical experiments, of the signal detectionproblem in high dimension. More precisely, we consider the problemof testing the null hypothesis of sphericity of a high-dimensional...
Persistent link: https://www.econbiz.de/10010584128
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Boundary behavior in High Dimension, Low Sample Size asymptotics of PCA
Jung, Sungkyu; Sen, Arusharka; Marron, J.S. - In: Journal of Multivariate Analysis 109 (2012) C, pp. 190-203
and n is fixed, under a generalized spiked covariance model. Specifically, we assume the largest population eigenvalues to …
Persistent link: https://www.econbiz.de/10011042061
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On the border of extreme and mild spiked models in the HDLSS framework
Lee, Myung Hee - In: Journal of Multivariate Analysis 107 (2012) C, pp. 162-168
In the spiked covariance model for High Dimension Low Sample Size (HDLSS) asymptotics where the dimension tends to … consistency to strong inconsistency at the boundary of the extreme and mild spiked covariance models. Yet, the behavior at the …
Persistent link: https://www.econbiz.de/10010572308
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