Sökning: "High-dimensional asymptotics"

Hittade 2 avhandlingar innehållade orden High-dimensional asymptotics.

  1. 1. Issues of incompleteness, outliers and asymptotics in high dimensional data

    Författare :Peter S. Karlsson; Thomas Holgersson; Ghazi Shukur; Åke E. Andersson; Jönköping University; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Business and economics; Ekonomi;

    Sammanfattning : This thesis consists of four individual essays and an introduction chapter. The essays are in the field of multivariate statistical analysis of High dimensional data. The first essay presents the issue of estimating the inverse covariance matrix alone and when it is used within the Mahalanobis distance in High-dimensional data. LÄS MER

  3. 2. Statistical Inference of Tangency Portfolio in Small and Large Dimension

    Författare :Stanislas Muhinyuza; Taras Bodnar; Dietrich von Rosen; Stockholms universitet; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Tangency portfolio; Mean-variance portfolio; High-dimensional asymptotics; Test theory; Mathematical Statistics; matematisk statistik;

    Sammanfattning : This thesis considers statistical test theory in portfolio theory. It analyses the asymptotic behavior of the considered tests in the high-dimensional setting, meaning k/n → c ∈ (0, ∞) as n → ∞, where k and n are portfolio size and sample size, respectively. LÄS MER