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Minimax optimal estimation of general bandable covariance matrices
Xue, Lingzhou; Zou, Hui - In: Journal of Multivariate Analysis 116 (2013) C, pp. 45-51
Cai et al. (2010) [4] have studied the minimax optimal estimation of a collection of large bandable covariance matrices whose off-diagonal entries decay to zero at a polynomial rate. They have shown that the minimax optimal procedures are fundamentally different under Frobenius and spectral...
Persistent link: https://www.econbiz.de/10011041948
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Band Width Selection for High Dimensional Covariance Matrix Estimation
Qiu, Yumou; Chen, Song Xi - Volkswirtschaftliche Fakultät, … - 2014
The banding estimator of Bickel and Levina (2008a) and its tapering version of Cai, Zhang and Zhou (2010), are important high dimensional covariance estimators. Both estimators require choosing a band width parameter. We propose a band width selector for the banding covariance estimator by...
Persistent link: https://www.econbiz.de/10011113993
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On the choice of weights for aggregating judgments in non-negotiable AHP group decision making
Amenta, Pietro; Lucadamo, Antonio; Marcarelli, Gabriella - In: European journal of operational research : EJOR 288 (2021) 1, pp. 294-301
Persistent link: https://www.econbiz.de/10012496560
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A class of adaptive Dai-Liao conjugate gradient methods based on the scaled memoryless BFGS update
Babaie-Kafaki, Saman; Ghanbari, Reza - In: 4OR : a quarterly journal of operations research 15 (2017) 1, pp. 85-92
Persistent link: https://www.econbiz.de/10011719616
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On generating correlated random variables with a given valid or invalid Correlation matrix
Mishra, SK - Volkswirtschaftliche Fakultät, … - 2004
In simulation we often have to generate correlated random variables by giving a reference intercorrelation matrix, R or Q. The matrix R is positive definite and a valid correlation matrix. The matrix Q may appear to be a correlation matrix but it may be invalid (negative definite). With R(m,m)...
Persistent link: https://www.econbiz.de/10005787098
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Optimal solution of the nearest correlation matrix problem by minimization of the maximum norm
Mishra, SK - Volkswirtschaftliche Fakultät, … - 2004
The nearest correlation matrix problem is to find a valid (positive semidefinite) correlation matrix, R(m,m), that is nearest to a given invalid (negative semidefinite) or pseudo-correlation matrix, Q(m,m); m larger than 2. In the literature on this problem, 'nearest' is invariably defined in...
Persistent link: https://www.econbiz.de/10005789841
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An eclectic approach to real exchange rate: Determination
Cerveró, Susana G. - 1999
an economic point of view. Joint estimation by SURE, through the extraction of relevant interrelations among currencies …
Persistent link: https://www.econbiz.de/10010301775
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The Economics of Nested Insurance: The Case of SURE
Cooper, Joseph C.; Sproul, Thomas; Zilberman, David - 2010
assistance program known as Supplemental Revenue Assistance (SURE). This paper introduces a theory of nested insurance to … evaluate the impact on of SURE on intensification, acreage and adoption. The results suggest that parameters of a government … program like SURE may enhance the adoption and value of crop insurance to the farm sector. A quantitative understanding of the …
Persistent link: https://www.econbiz.de/10009446140
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Disaggregate wealth and aggregate consumption: An investigation of empirical relationships for the G7
Byrne, J P; Davis, E P - 2001
liquidity constrained to life cycle behaviourfollowing financial liberalisation. Results were robust in SURE analysis, tested in …
Persistent link: https://www.econbiz.de/10009465467
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The Balance of Payments and International Investment Position of Spain in 2021
Álvarez Román, Laura; Alves Álvarez, Pana Alejandro; …
Artículo de revista ; On balance of payments statistics, in 2021 Spain’s net lending amounted to 1.8% of GDP (1.2% in 2020). This increase mainly reflected the partial recovery in the travel surplus, thanks to the improvement in the epidemiological situation prompted by the headway in...
Persistent link: https://www.econbiz.de/10013284802