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Effective PCA for high-dimension, low-sample-size data with noise reduction via geometric representations

Yata, Kazuyoshi; Aoshima, Makoto - In: Journal of Multivariate Analysis 105 (2012) 1, pp. 193-215

In this article, we propose a new estimation methodology to deal with PCA for high-dimension, low-sample-size (HDLSS …) data. We first show that HDLSS datasets have different geometric representations depending on whether a ρ …-mixing-type dependency appears in variables or not. When the ρ-mixing-type dependency appears in variables, the HDLSS data converge to an n …

Persistent link: https://www.econbiz.de/10011041986

Portfolio Correlations in the Bank-Firm Credit Market of Japan

Luu, Duc Thi - In: Computational Economics 60 (2021) 2, pp. 529-569

The recent global financial crisis has shown portfolio correlations between agents as one of the major channels of risk contagion and amplification. In this work, we analyse the structure and dynamics of the cross-correlation matrix of banks' loan portfolios in the yearly bank-firm credit...

Persistent link: https://www.econbiz.de/10014501966

An analysis of systematic risk in worldwide econonomic sentiment indices

Luu, Duc Thi; Yanovski, Boyan; Lux, Thomas - 2018

In this paper, we investigate the temporal dynamics of correlations between sentiment indices worldwide. Employing the tools of Random Matrix Theory (RMT) and Principal Component Analysis (PCA), our paper aims to extract latent information embedded in the interactions between economic and...

Persistent link: https://www.econbiz.de/10011791083

Moment component analysis : an illustration with international stock markets

Jondeau, Eric; Jurczenko, Emmanuel; Rockinger, Michael - 2010

It is well known that non-normality plays an important role in asset and risk management. However, handling a large number of assets has long been a challenge due to the curse of dimensionality. We describe a statistical technique, which we call Moment Component Analysis (MCA), that extends...

Persistent link: https://www.econbiz.de/10008797742

An analysis of systemic risk in worldwide economic sentiment indices

Lux, Thomas; Luu, Duc Thi; Yanovski, Boyan - In: Empirica : journal of european economics 47 (2020) 4, pp. 909-928

Persistent link: https://www.econbiz.de/10012309392

Moment component analysis : an illustration with international stock markets

Jondeau, Eric; Jurczenko, Emmanuel; Rockinger, Michael - In: Journal of business & economic statistics : JBES ; a … 36 (2018) 4, pp. 576-598

Persistent link: https://www.econbiz.de/10012249215

An analysis of systemic risk in worldwide economic sentiment indices

Thi, Luu Duc; Yanovski, Boyan; Lux, Thomas - In: Essays on real-financial interactions and on the …, (pp. 174-200). 2019

Persistent link: https://www.econbiz.de/10012035449

Applications of random-matrix theory and nonparametric change-point analysis to three notable systemic crises

Melkuev, David; Guo, Danqiao; Wirjanto, Tony S. - In: Quantitative finance and economics 2 (2018) 2, pp. 413-467

Persistent link: https://www.econbiz.de/10012156682

An analysis of systematic risk in worldwide econonomic sentiment indices

Luu, Duc Thi; Yanovski, Boyan; Lux, Thomas - 2018 - Ver. January 2, 2018

Persistent link: https://www.econbiz.de/10011790790

Synchronization patterns in the European Union

Guerini, Mattia; Luu, Duc Thi; Napoletano, Mauro - In: Applied economics 55 (2023) 18, pp. 2038-2059

Persistent link: https://www.econbiz.de/10014294856

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