onr:"swepub:oai:DiVA.org:oru-97884"
Search: onr:"swepub:oai:DiVA.org:oru-97884" > Recent advances in ...
- 1 of 1
- Previous record
- Next record
- To hitlist
Recent advances in shrinkage-based high-dimensional inference
-
- Bodnar, Olha, senior lecturer, 1979- (author)
- Örebro universitet,Handelshögskolan vid Örebro Universitet,Unit of Statistics
-
- Bodnar, Taras (author)
- Stockholms universitet,Matematiska institutionen
-
- Parolya, Nestor (author)
- Department of Applied Mathematics, Delft University of Technology, Delft, The Netherlands
- (creator_code:org_t)
- Elsevier, 2022
- 2022
- English.
- In: Journal of Multivariate Analysis. - : Elsevier. - 0047-259X .- 1095-7243. ; 188
- Journal article (peer-reviewed)
Abstract
Subject headings
Close
- Recently, the shrinkage approach has increased its popularity in theoretical and applied statistics, especially, when point estimators for high-dimensional quantities have to be constructed. A shrinkage estimator is usually obtained by shrinking the sample estimator towards a deterministic target. This allows to reduce the high volatility that is commonly present in the sample estimator by introducing a bias such that the mean-square error of the shrinkage estimator becomes smaller than the one of the corresponding sample estimator. The procedure has shown great advantages especially in the high-dimensional problems where, in general case, the sample estimators are not consistent without imposing structural assumptions on model parameters.In this paper, we review the mostly used shrinkage estimators for the mean vector, covariance and precision matrices. The application in portfolio theory is provided where the weights of optimal portfolios are usually determined as functions of the mean vector and covariance matrix. Furthermore, a test theory on the mean-variance optimality of a given portfolio based on the shrinkage approach is presented as well.
Subject headings
- NATURVETENSKAP -- Matematik -- Sannolikhetsteori och statistik (hsv//swe)
- NATURAL SCIENCES -- Mathematics -- Probability Theory and Statistics (hsv//eng)
- NATURVETENSKAP -- Matematik (hsv//swe)
- NATURAL SCIENCES -- Mathematics (hsv//eng)
Keyword
- Covariance matrix
- High-dimensional asymptotics
- High-dimensional optimal portfolio
- Mean vector
- Precision matrix
- Random matrix theory
- Shrinkage estimation
Publication and Content Type
- ref (subject category)
- art (subject category)
Find in a library
- Journal of Multivariate Analysis (Search for host publication in LIBRIS)
To the university's database
- 1 of 1
- Previous record
- Next record
- To hitlist
Find more in SwePub
- By the author/editor
- Bodnar, Olha, se ...
- Bodnar, Taras
- Parolya, Nestor
- About the subject
-
- NATURAL SCIENCES
- NATURAL SCIENCES
- and Mathematics
- and Probability Theo ...
-
- NATURAL SCIENCES
- NATURAL SCIENCES
- and Mathematics
- Articles in the publication
- Journal of Multi ...
- By the university
- Örebro University
- Stockholm University
Search outside SwePub
- Extend your search to:
- Google Book Search
- Google Scholar
Kungliga biblioteket hanterar dina personuppgifter i enlighet med EU:s dataskyddsförordning (2018), GDPR. Läs mer om hur det funkar här.
Så här hanterar KB dina uppgifter vid användning av denna tjänst.
- Copyright © LIBRIS - National Library Systems
- LIBRIS.kb.se
