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Keywords: covariance matrices
Journal Article
The Conditional Autoregressive F-Riesz Model for Realized Covariance Matrices
Journal of Financial Econometrics, Volume 23, Issue 2, 2025, nbae023, https://doi.org/10.1093/jjfinec/nbae023
Published: 07 October 2024
... of the new model or competitive with a range of benchmark models. covariance matrix distributions tail heterogeneity (Inverse) Riesz distribution fat-tails realized covariance matrices C32 C58 G17 Dutch National Science Foundation 10.13039/501100003246 Covariance matrix modeling and estimation play...
Journal Article
An Enhanced Factor Model for Portfolio Selection in High Dimensions Get access
Journal of Financial Econometrics, Volume 22, Issue 1, Winter 2024, Pages 94–118, https://doi.org/10.1093/jjfinec/nbac029
Published: 08 August 2022
... ≪ p for high-dimensional data. Under the classical model assumptions, the covariance matrix Σ of y t is given by Σ = Σ A + Σ g , where Σ A = A Σ f o A ′ , Σ f o and Σ g are covariance matrices of f t o...
Journal Article
Normal Combinatoric Classification
Journal of the Royal Statistical Society Series C: Applied Statistics, Volume 41, Issue 2, June 1992, Pages 483–496, https://doi.org/10.2307/2347585
Published: 05 December 2018
... University Press, Standard Journals Publication Model (https://dbpia.nl.go.kr/journals/pages/open_access/funder_policies/chorus/standard_publication_model) Discrimination Multivariate normal Simultaneous diagonalization of two symmetric matrices Unequal covariance matrices References Dunn , C. L...
Journal Article
Null Distribution of the Largest Root Statistic
Journal of the Royal Statistical Society Series C: Applied Statistics, Volume 23, Issue 3, November 1974, Pages 458–465, https://doi.org/10.2307/2347149
Published: 05 December 2018
...W. N. Venables 458 Algorithm AS 77 APPLIED STATISTICS Null Distribution of the Largest Root Statistic By W. N. VENABLES Department of Statistics, University of Adelaide Keywords: LARGEST ROOT DISTRIBUTION; LARGEST ROOT TEST STATISTIC; EQUALITY OF COVARIANCE MATRICES; INDEPENDENCE OF TWO SETS...
Journal Article
A Test of Equality of Block-Diagonal Covariance Matrices and its Role of Unification
Journal of the Royal Statistical Society: Series B (Methodological), Volume 33, Issue 2, July 1971, Pages 301–306, https://doi.org/10.1111/j.2517-6161.1971.tb00881.x
Published: 05 December 2018
... ) 1971] 301 A Test of Equality of Block-diagonal Covariance Matrices and its Role of Unification By S. JOHN Australian National University, Canberra [Received July 1970. Revised November 1970] SUMMARY Let Cb, b = 0, 1, , B, be the class of all d-dimensional matrices (i.e, having d rows and d columns...
Journal Article
Fractional Integration and Fat Tails for Realized Covariance Kernels Get access
Journal of Financial Econometrics, Volume 17, Issue 1, Winter 2019, Pages 66–90, https://doi.org/10.1093/jjfinec/nby029
Published: 16 November 2018
... alternatives such as the multivariate HEAVY model and the multivariate HAR model. In addition, the long-memory behavior is more important during non-crisis periods. fractional integration heavy tails matrix-F distribution multivariate volatility realized covariance matrices score dynamics C32...
Journal Article
Estimation of graphical models using the L1,2 norm Get access
The Econometrics Journal, Volume 21, Issue 3, 1 October 2018, Pages 247–263, https://doi.org/10.1111/ectj.12104
Published: 14 September 2018
... Motors, General Electric and US Steel forming the core group of firms. Gaussian graphical models Graphs Inverse covariance matrices LASSO Networks Sparsity The Gaussian graphical model is a graph summarizing the conditional independence relationships among a group of random variables. Suppose...
Journal Article
Automatic module selection from several microarray gene expression studies Get access
Biostatistics, Volume 19, Issue 2, April 2018, Pages 153–168, https://doi.org/10.1093/biostatistics/kxx032
Published: 01 July 2017
... in simulation studies. Application to real data identifies modules with significant enrichment and results in a huge dimension reduction, which can alleviate the computational burden of further analyses. Clustering Empirical Bayes estimation Estimation of large covariance matrices GAP statistic GPD mixture...
Journal Article
CONVERGENT EVOLUTION OF PHENOTYPIC INTEGRATION AND ITS ALIGNMENT WITH MORPHOLOGICAL DIVERSIFICATION IN CARIBBEAN ANOLIS ECOMORPHS Get access
in
Evolution
Evolution, Volume 65, Issue 12, 1 December 2011, Pages 3608–3624, https://doi.org/10.1111/j.1558-5646.2011.01416.x
Published: 01 December 2011
Journal Article
Banded Regularization of Autocovariance Matrices in Application to Parameter Estimation and Forecasting of Time Series Get access
Journal of the Royal Statistical Society Series B: Statistical Methodology, Volume 73, Issue 5, November 2011, Pages 711–728, https://doi.org/10.1111/j.1467-9868.2011.00779.x
Published: 09 August 2011
... by simulations and application to predicting the sea surface temperature index in the Niño 3.4 region. Autocovariance and covariance matrices Cross-validation Forecasting Model selection Regularization Time series Although the literature on regularization is vast and includes a variety of modern techniques...
Journal Article
THE ONTOGENETIC TRAJECTORY OF THE PHENOTYPIC COVARIANCE MATRIX, WITH EXAMPLES FROM CRANIOFACIAL SHAPE IN RATS AND HUMANS Get access
in
Evolution
Evolution, Volume 63, Issue 3, 1 March 2009, Pages 727–737, https://doi.org/10.1111/j.1558-5646.2008.00587.x
Published: 01 March 2009
...Philipp Mitteroecker; Fred Bookstein 2 The first two principal coordinates (PCoord) of the covariance matrices for the Vilmann rat data. Every point represents one covariance matrix and is labeled by the age of the animals. The gray line connecting these points hence represents the ontogenetic...
Journal Article
Graphical Gaussian Models With Edge and Vertex Symmetries Get access
Journal of the Royal Statistical Society Series B: Statistical Methodology, Volume 70, Issue 5, November 2008, Pages 1005–1027, https://doi.org/10.1111/j.1467-9868.2008.00666.x
Published: 24 July 2008
... Invariance Iterative partial maximization Patterned covariance matrices Permutation symmetry Transformation models This paper introduces new types of graphical Gaussian models ( Whittaker, 1990 ; Lauritzen, 1996 ), which are also known as covariance selection models ( Dempster, 1972 ), by imposing...
Journal Article
THE STABILITY OF P IN CORAL REEF FISHES Get access
in
Evolution
Evolution, Volume 60, Issue 4, 1 April 2006, Pages 814–823, https://doi.org/10.1111/j.0014-3820.2006.tb01159.x
Published: 01 April 2006
... good reasons to expect that the pattern of phenotypic variation and covariation may vary in space and time. We compared phenotypic variance‐covariance matrices ( P ) estimated for populations of six species of distantly related coral reef fishes sampled at two locations on Australia's Great Barrier...
Journal Article
Effective multidimensional resistivity inversion using finite-element techniques
Geophysical Journal International, Volume 151, Issue 3, December 2002, Pages 710–728, https://doi.org/10.1046/j.1365-246X.2002.01786.x
Published: 01 December 2002
... of multidimensional problems. Since the electrical inverse problem is ill-conditioned, special attention is given to the use of model-covariance matrices and data weighting to assist the inversion process to arrive at a physically plausible result. The model-covariance used allows for preferential model...
Journal Article
Spectral models for covariance matrices Get access
in
Biometrika
Biometrika, Volume 89, Issue 1, March 2002, Pages 159–182, https://doi.org/10.1093/biomet/89.1.159
Published: 01 March 2002
...Robert J. Boik 1Department of Mathematical Sciences, Montana State University, Bozeman, Montana 59717‐2400, U.S.A. [email protected] Copyright Biometrika Trust 2002 2002 Abstract A new model for the simultaneous eigenstructure of multiple covariance matrices is proposed. The model is much...
Journal Article
Asymptotic Information and Variance–Covariance Matrices for the Linear Structural Model Get access
Journal of the Royal Statistical Society Series D: The Statistician, Volume 48, Issue 4, December 1999, Pages 477–493, https://doi.org/10.1111/1467-9884.00206
Published: 25 December 2001
... asymptotic variance–covariance matrices for all estimators are derived for the linear structural model, when various assumptions are made about the error variances involved. The equations that are obtained can readily be used in practice, though the algebra needed to derive these equations is somewhat...
Journal Article
The comparison of sample covariance matrices using likelihood ratio tests Get access
in
Biometrika
Biometrika, Volume 74, Issue 4, December 1987, Pages 841–847, https://doi.org/10.1093/biomet/74.4.841
Published: 01 December 1987
...BRYAN F. J. MANLY; J. C. W. RAYNER Biometrika (1987), 74, 4, pp. 841-7
Printed in Great Britain
The comparison of sample covariance matrices
using likelihood ratio tests
BY BRYAN F. J. MANLY AND J. C. W. RAYNER
Department of Mathematics...
Journal Article
Asymptotic distributions in canonical correlation analysis and other multivariate procedures for nonnormal populations Get access
in
Biometrika
Biometrika, Volume 67, Issue 1, 1980, Pages 31–43, https://doi.org/10.1093/biomet/67.1.31
Published: 01 April 1980
.... Canonical correlation coefficient Elliptical distribution Likelihood ratio test Non-normal model Robustness Sphericity test Test for covariance matrices Biomctrika (1980), 67, 1, pp. 31-43 31
Printed in Great Britain
Asymptotic distributions in canonical correlation analysis and
other...
Journal Article
On testing equality of related correlation coefficients Get access
in
Biometrika
Biometrika, Volume 63, Issue 1, 1976, Pages 214–215, https://doi.org/10.1093/biomet/63.1.214
Published: 01 April 1976
... X1 and X3 − X2 provided that the conditional distribution of X1 given X3 − X2 , is normal. Covariance matrices Equality of regressions Exact tests Related correlation coefficients 214 Miscellanea...
Journal Article
Asymptotic properties for covariance matrices of order statistics Get access
in
Biometrika
Biometrika, Volume 62, Issue 1, April 1975, Pages 23–28, https://doi.org/10.1093/biomet/62.1.23
Published: 01 April 1975
...M. A. STEPHENS Biomttrika (1975), 62, 1, p. 23 23
Printed in Great Britain
Asymptotic properties for covariance matrices
of order statistics
BY M. A. STEPHENS
Department of Mathematics, McMaster University, Hamilton...
