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Covariance Estimation for Wide Data

delete2026-05-29
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OA
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E
Eran Raviv *
DOI：10.1002/wics.70068delete
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摘要

摘要

En 中文
协方差矩阵的可靠估计是多变量分析的基础，其重要性仅次于均值。其准确性直接影响经济学、金融学、化学、健康科学、生物信息学、气候研究、信号处理和社会网络分析等领域的应用。现代数据环境通常涉及宽数据，其中变量数量与或超过观测数量，导致经典估计量不稳定或奇异。本文综述了高维协方差估计的最新进展，重点关注阈值处理程序、线性与非线性的收缩方法、基于图模型的方法以及利用随机矩阵理论的估计技术。提出了一个统一的分类法，将这些多样化的技术组织在一个单一的概念框架下，强调它们之间的联系，并指导在宽数据设置中选择合适的估计量。
Keyword:
graphical models
high-dimensional covariance estimation
random matrix theory
regularization methods
shrinkage methods
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期刊

W
wires computational statistics
IF:
0
论文数:
7
被引数:
0

机构

E
erasmus university
学者数:
266
论文数: 128
被引数: 2
引用论文

引用论文

Honey, I Shrunk the Sample Covariance Matrix亲爱的，我缩小了样本协方差矩阵
errThe Journal of Portfolio Management
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err2004-07-31
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Improved estimation of the covariance matrix of stock returns with an application to portfolio selection
errJournal of Empirical Finance
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err2003-12-01
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errOlivier Ledoit; Michael Wolf
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An overview of the estimation of large covariance and precision matrices
errECONOMETRICS JOURNAL
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err2016-03-28
err226
errOAAI
errFan, Jianqing; Liao, Yuan; Liu, Han
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High-dimensional graphs and variable selection with the Lasso
errANNALS OF STATISTICS
IF3.7
err2006-06-01
err2.9K
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errMeinshausen, Nicolai; Buehlmann, Peter
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A calibration method for non-positive definite covariance matrix in multivariate data analysis一种非正定协方差矩阵的校准方法在多元数据分析中的应用
errJournal of Multivariate Analysis
IF0
err2017-05-01
err0
PREAI
errHuang,Chao; Farewell,Daniel; Pan,Jianxin
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Adaptive Thresholding for Sparse Covariance Matrix Estimation
errJOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION
IF3
err2011-06-01
err467
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errCai, Tony; Liu, Weidong
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The control of the false discovery rate in multiple testing under dependency
errThe Annals of Statistics
IF0
err2001-08-01
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errYoav Benjamini; Daniel Yekutieli
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Fast and adaptive sparse precision matrix estimation in high dimensions
errJournal of Multivariate Analysis
IF0
err2015-03-01
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errWeidong Liu; Xi Luo
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RANDOM MATRIX THEORY AND FINANCIAL CORRELATIONS
errInternational Journal of Theoretical and Applied Finance
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err2011-11-21
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errLAURENT LALOUX; PIERRE CIZEAU; MARC POTTERS; JEAN-PHILIPPE BOUCHAUD
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Spectrum estimation: A unified framework for covariance matrix estimation and PCA in large dimensions
errJournal of Multivariate Analysis
IF0
err2015-07-01
err0
errOAAI
errOlivier Ledoit; Michael Wolf
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