Showing 1 - 10 of 109
Under rotation-equivariant decision theory, sample covariance matrix eigenvalues can be optimally shrunk by recombining … estimation under a variety of loss functions motivated by statistical precedent, probability theory, and differential geometry. A …
Persistent link: https://www.econbiz.de/10012584105
Under rotation-equivariant decision theory, sample covariance matrix eigenvalues can be optimally shrunk by recombining … statistical precedent, probability theory, and differential geometry. The key statistical ingredient of our nonlinear shrinkage …
Persistent link: https://www.econbiz.de/10012030045
Under rotation-equivariant decision theory, sample covariance matrix eigenvalues can be optimally shrunk by recombining … estimation under a variety of loss functions motivated by statistical precedent, probability theory, and differential geometry. A …
Persistent link: https://www.econbiz.de/10012165715
This paper estimates the curvature of the Earth, defined as one over its radius, without using any physics. The orthodox model is that the Earth is nearly spherical with a curvature of Û/20, 000 km. By contrast, the heterodox flat-Earth model stipulates a curvature of zero. Abstracting from the...
Persistent link: https://www.econbiz.de/10014333767
This paper estimates the curvature of the Earth, defined as one over its radius, without relying on physical measurements. The orthodox model states that the Earth is (nearly) spherical with a curvature of π/20'000 km. By contrast, the heterodox flat-Earth model stipulates a curvature of zero....
Persistent link: https://www.econbiz.de/10014376995
This paper estimates the curvature of the Earth, defined as one over its radius, without relying on physical measurements. The orthodox model states that the Earth is (nearly) spherical with a curvature of π/20'000 km. By contrast, the heterodox flat-Earth model stipulates a curvature of zero....
Persistent link: https://www.econbiz.de/10014380417
This paper estimates the curvature of the Earth, defined as one over its radius, without using any physics. The orthodox model is that the Earth is nearly spherical with a curvature of π/20, 000 km. By contrast, the heterodox flat-Earth model stipulates a curvature of zero. Abstracting from the...
Persistent link: https://www.econbiz.de/10014250963
This paper analyzes whether standard covariance matrix tests work when dimensionality is large, and in particular larger than sample size. In the latter case, the singularity of the sample covariance matrix makes likelihood ratio tests degenerate, but other tests based on quadratic forms of...
Persistent link: https://www.econbiz.de/10014116702
eigenvalues; a favored model is nonlinear shrinkage, derived from Random Matrix Theory (RMT). The present paper marries these two …
Persistent link: https://www.econbiz.de/10012968636
Covariance matrix estimation and principal component analysis (PCA) are two cornerstones of multivariate analysis. Classic textbook solutions perform poorly when the dimension of the data is of a magnitude similar to the sample size, or even larger. In such settings, there is a common remedy for...
Persistent link: https://www.econbiz.de/10009747823