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Issues of incomplet...
Issues of incompleteness, outliers and asymptotics in high dimensional data
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- Karlsson, Peter S. (author)
- Jönköping University,IHH, Economics, Finance and Statistics
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- Holgersson, Thomas, Professor (thesis advisor)
- Jönköping University,IHH, Statistik
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- Shukur, Ghazi, Professor (thesis advisor)
- Jönköping University,IHH, Statistik
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- Andersson, Åke E., Professor (thesis advisor)
- Jönköping University,IHH, Nationalekonomi
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(creator_code:org_t)
- ISBN 9789186345181
- Jönköping : Jönköping International Business School, 2011
- English 119 s.
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Series: JIBS Dissertation Series, 1403-0470 ; 069
- Related links:
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https://hj.diva-port... (primary) (Raw object)
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https://urn.kb.se/re...
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Abstract
Subject headings
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- This thesis consists of four individual essays and an introduction chapter. The essays are in the field of multivariate statistical analysis of High dimensional data. The first essay presents the issue of estimating the inverse covariance matrix alone and when it is used within the Mahalanobis distance in High-dimensional data. Three types of ridge-shrinkage estimators of the inverse covariance matrix are suggested and evaluated through Monte Carlo simulations. The second essay deals with incomplete observations in empirical applications of the Arbitrage Pricing Theory model and the interest is to model the underlying covariance structure among the variables by a few common factors. Two possible solutions to the problem are considered and acase study using the Swedish OMX data is conducted for demonstration. In the third essay the issue of outlier detection in High-dimensional data is treated. A number of point estimators of the Mahalanobis distance are suggested and their properties are evaluated. In the fourth and last essay the relation between the second central moment of a distribution to its first raw moment is considered in an financial context. Three possible estimators are considered and it is shown that they are consistent even when the dimension increases proportionally to the number of observations.
Subject headings
- NATURVETENSKAP -- Matematik -- Sannolikhetsteori och statistik (hsv//swe)
- NATURAL SCIENCES -- Mathematics -- Probability Theory and Statistics (hsv//eng)
Keyword
- Business and economics
- Ekonomi
Publication and Content Type
- vet (subject category)
- dok (subject category)
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