UNBIASED RISK ESTIMATION METHOD FOR COVARIANCE ESTIMATION

被引：0

作者：

Lescornel, Helene ^{[1
]}

Loubes, Jean-Michel ^{[1
]}

Chabriac, Claudie ^{[1
]}

机构：

[1] Inst Math Toulouse, UMR 5219, F-31062 Toulouse 9, France

来源：

ESAIM-PROBABILITY AND STATISTICS | 2014年 / 18卷

关键词：

Covariance estimation; model selection; URE method; NONPARAMETRIC-ESTIMATION;

D O I：

10.1051/ps/2013034

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

We consider a model selection estimator of the covariance of a random process. Using the Unbiased Risk Estimation (U.R.E.) method, we build an estimator of the risk which allows to select an estimator in a collection of models. Then, we present an oracle inequality which ensures that the risk of the selected estimator is close to the risk of the oracle. Simulations show the efficiency of this methodology.

引用

页码：251 / 264

页数：14

共 50 条

[1] A note on covariance estimation in the unbiased estimator of risk framework
Rajaratnam, Bala
Vincenzi, Dario
JOURNAL OF STATISTICAL PLANNING AND INFERENCE, 2016, 175 : 25 - 39
[2] METHOD FOR UNBIASED PARAMETER ESTIMATION BY MEANS OF EQUATION ERROR INPUT COVARIANCE
MERHAV, SJ
GABAY, E
IEEE TRANSACTIONS ON AUTOMATIC CONTROL, 1975, AC20 (03) : 372 - 378
[3] Unbiased estimation of risk
Pitera, Marcin
Schmidt, Thorsten
JOURNAL OF BANKING & FINANCE, 2018, 91 : 133 - 145
[4] Estimation risk in covariance
Cho D.D.
Journal of Asset Management, 2011, 12 (4) : 248 - 259
[5] Unbiased estimation of the OLS covariance matrix when the errors are clustered
Boot, Tom
Niccodemi, Gianmaria
Wansbeek, Tom
EMPIRICAL ECONOMICS, 2023, 64 (06) : 2511 - 2533
[6] Unbiased estimation of the OLS covariance matrix when the errors are clustered
Tom Boot
Gianmaria Niccodemi
Tom Wansbeek
Empirical Economics, 2023, 64 : 2511 - 2533
[7] Unbiased risk estimation and scoring rules
Ehm, Werner
COMPTES RENDUS MATHEMATIQUE, 2011, 349 (11-12) : 699 - 702
[8] On risk unbiased estimation after selection
Nematollahi, Nader
Jozani, Mohammad Jafari
BRAZILIAN JOURNAL OF PROBABILITY AND STATISTICS, 2016, 30 (01) : 91 - 106
[9] Software for Unbiased Estimation of Attributable Risk
Hamel, Jean-Francois
Fouquet, Natacha
Ha, Catherine
Goldberg, Marcel
Roquelaure, Yves
EPIDEMIOLOGY, 2012, 23 (04) : 646 - 647
[10] An estimation method for an unknown covariance in cross-section adjustment based on unbiased and consistent estimator
Maruyama, Shuhei
Endo, Tomohiro
Yamamoto, Akio
JOURNAL OF NUCLEAR SCIENCE AND TECHNOLOGY, 2023, 60 (11) : 1372 - 1385

← 1 2 3 4 5 →