一类结构化的高维动态共变矩阵
Jin Yang1,2,3, Heng Lian4, Wenyang Zhang5
1School of Statistics and Data Sciences, Nankai University, Tianjin, China.
概括
这项研究引入了一种新型的高维动态共变矩阵类型,具有嵌入式添加结构. 拟议的估计程序在有限的样本大小方面表现出有效性,特别是在投资组合分配应用中.
科学领域:
- 统计 统计 统计 统计
- 计量经济学 计量经济学 计量经济学
- 金融建模金融建模
背景情况:
- 高维共变矩阵在统计学和计量经济学中至关重要.
- 现有的模型通常假定恒定协差矩阵,这对像投资组合分配这样的动态应用来说是限制性的.
- 对于复杂的动态,对于每个矩阵条目来说,一个简单的时间依赖结构是不够的.
研究的目的:
- 引入一个新的类型的高维动态共变矩阵,包括一个添加结构.
- 开发和验证这些动态矩阵的估计程序.
- 在实际应用中展示拟议模型的优势,例如投资组合分配.
主要方法:
- 开发了一种新型类型的高维动态共变矩阵,具有嵌入式添加结构.
- 关于动态协差矩阵的统计估计程序的建议.
- 使用非对称性属性的估计程序的理由.
- 通过具有有限样本大小的密集模拟研究进行验证.
主要成果:
- 提出的高维动态共变矩阵在应用中提供了显著的优势.
- 开发的估计程序被证明,即使在有限的样本大小,也能表现良好.
- 对投资组合配置的应用产生了有趣和有前途的结果.
结论:
- 具有添加结构的高维动态共变矩阵的新型类型为动态金融应用提供了更合适的模型.
- 建议的估计方法在统计学上是合理的,并且在实践中是有效的.
- 该方法显示了改善投资组合分配策略的潜力.
相关概念视频
Collisions in Multiple Dimensions: Problem Solving
3.5K
In multiple dimensions, the conservation of momentum applies in each direction independently. Hence, to solve collisions in multiple dimensions, we should write down the momentum conservation in each direction separately. To help understand collisions in multiple dimensions, consider an example.
A small car of mass 1,200 kg traveling east at 60 km/h collides at an intersection with a truck of mass 3,000 kg traveling due north at 40 km/h. The two vehicles are locked together. What is the...
A small car of mass 1,200 kg traveling east at 60 km/h collides at an intersection with a truck of mass 3,000 kg traveling due north at 40 km/h. The two vehicles are locked together. What is the...
3.5K
Collisions in Multiple Dimensions: Introduction
4.4K
It is far more common for collisions to occur in two dimensions; that is, the initial velocity vectors are neither parallel nor antiparallel to each other. Let's see what complications arise from this. The first idea is that momentum is a vector. Like all vectors, it can be expressed as a sum of perpendicular components (usually, though not always, an x-component and a y-component, and a z-component if necessary). Thus, when the statement of conservation of momentum is written for a...
4.4K
Friedman Two-way Analysis of Variance by Ranks
95
Friedman's Two-Way Analysis of Variance by Ranks is a nonparametric test designed to identify differences across multiple test attempts when traditional assumptions of normality and equal variances do not apply. Unlike conventional ANOVA, which requires normally distributed data with equal variances, Friedman's test is ideal for ordinal or non-normally distributed data, making it particularly useful for analyzing dependent samples, such as matched subjects over time or repeated measures...
95
One-Compartment Open Model: Wagner-Nelson and Loo Riegelman Method for ka Estimation
225
This lesson introduces two critical methods in pharmacokinetics, the Wagner-Nelson and Loo-Riegelman methods, used for estimating the absorption rate constant (ka) for drugs administered via non-intravenous routes. The Wagner-Nelson method relates ka to the plasma concentration derived from the slope of a semilog percent unabsorbed time plot. However, it is limited to drugs with one-compartment kinetics and can be impacted by factors like gastrointestinal motility or enzymatic degradation.
On...
On...
225
Multi-input and Multi-variable systems
86
Cruise control systems in cars are designed as multi-input systems to maintain a driver's desired speed while compensating for external disturbances such as changes in terrain. The block diagram for a cruise control system typically includes two main inputs: the desired speed set by the driver and any external disturbances, such as the incline of the road. By adjusting the engine throttle, the system maintains the vehicle's speed as close to the desired value as possible.
In the absence...
In the absence...
86
Multicompartment Models: Overview
61
Multicompartment models are mathematical constructs that depict how drugs are distributed and eliminated within the body. They segment the body into several compartments, symbolizing various physiological or anatomical areas connected through drug transfer processes such as absorption, metabolism, distribution, and elimination.
These models offer a more comprehensive representation of drug behavior in the body than one-compartment models. They accommodate the complexity of drug distribution,...
These models offer a more comprehensive representation of drug behavior in the body than one-compartment models. They accommodate the complexity of drug distribution,...
61


