Sökning: "Random covariance matrix"

Visar resultat 1 - 5 av 21 avhandlingar innehållade orden Random covariance matrix.

  1. 1. Modeling the covariance matrix of financial asset returns

    Författare :Gustav Alfelt; Joanna Tyrcha; Taras Bodnar; Vasyl Golosnoy; Stockholms universitet; []
    Nyckelord :NATURAL SCIENCES; NATURVETENSKAP; NATURVETENSKAP; NATURAL SCIENCES; Realized covariance; Autoregressive time-series; Goodness-of-fit test; Matrix singularity; Portfolio theory; Wishart distribution; Matrix-variate gamma distribution; Parameter estimation; High-dimensional data; Moore-Penrose inverse; Mathematical Statistics; matematisk statistik;

    Sammanfattning : The covariance matrix of asset returns, which describes the fluctuation of asset prices, plays a crucial role in understanding and predicting financial markets and economic systems. In recent years, the concept of realized covariance measures has become a popular way to accurately estimate return covariance matrices using high-frequency data. LÄS MER

  2. 2. Contributions to Estimation and Testing Block Covariance Structures in Multivariate Normal Models

    Författare :Yuli Liang; Tatjana von Rosen; Dietrich von Rosen; Ivan Žežula; Stockholms universitet; []
    Nyckelord :NATURAL SCIENCES; NATURVETENSKAP; NATURVETENSKAP; NATURAL SCIENCES; Block circular symmetry; covariance parameters; explicit maximum likelihood estimator; likelihood ratio test; restricted model; Toeplitz matrix; Statistics; statistik;

    Sammanfattning : This thesis concerns inference problems in balanced random effects models with a so-called block circular Toeplitz covariance structure. This class of covariance structures describes the dependency of some specific multivariate two-level data when both compound symmetry and circular symmetry appear simultaneously. LÄS MER

  3. 3. Optimal portfolios in the high-dimensional setting : Estimation and assessment of uncertainty

    Författare :Erik Thorsén; Taras Bodnar; Joanna Tyrcha; Mark Podolski; Stockholms universitet; []
    Nyckelord :NATURAL SCIENCES; NATURVETENSKAP; NATURVETENSKAP; NATURAL SCIENCES; Shrinkage estimator; high-dimensional covariance matrix; random matrix theory; optimal portfolios; parameter uncertainty; ridge regularization; dynamic decision making; matematisk statistik; Mathematical Statistics;

    Sammanfattning : Financial portfolios and diversification go hand in hand. Diversification is one of, if not, the best risk mitigation strategy there is. If an investment performs poorly, then it will not impact the performance of the portfolio much due to diversification. Modern Portfolio Theory (MPT) is a framework for constructing diversified portfolios. LÄS MER

  4. 4. Limit theorems for generalizations of GUE random matrices

    Författare :Martin Bender; Kurt Johansson; Arno Kuijlaars; KTH; []
    Nyckelord :NATURAL SCIENCES; NATURVETENSKAP; Random matrices; Central limit theorem; Dyson s Brownian motion; Interacting diffusion; Point process; Non-Hermitian; Scaling limit; MATHEMATICS; MATEMATIK;

    Sammanfattning : This thesis consists of two papers devoted to the asymptotics of random matrix ensembles and measure valued stochastic processes which can be considered as generalizations of the Gaussian unitary ensemble (GUE) of Hermitian matrices H=A+A†, where the entries of A are independent identically distributed (iid) centered complex Gaussian random variables. In the first paper, a system of interacting diffusing particles on the real line is studied; special cases include the eigenvalue dynamics of matrix-valued Ornstein-Uhlenbeck processes (Dyson's Brownian motion). LÄS MER

  5. 5. Contributions to High–Dimensional Analysis under Kolmogorov Condition

    Författare :Jolanta Maria Pielaszkiewicz; Dietrich von Rosen; Martin Singul; Thomas Holgersson; Linköpings universitet; []
    Nyckelord :NATURAL SCIENCES; NATURVETENSKAP; Eigenvalue distribution; free moments; free Poisson law; Marchenko-Pastur law; random matrices; spectral distribution; Wishart matrix; Mathematics; Matematik; Eigenvalue distribution; free moments; free Poisson law; Marchenko-Pastur law; random matrices; spectral distribution; Wishart matrix.;

    Sammanfattning : This thesis is about high–dimensional problems considered under the so{called Kolmogorov condition. Hence, we consider research questions related to random matrices with p rows (corresponding to the parameters) and n columns (corresponding to the sample size), where p > n, assuming that the ratio  converges when the number of parameters and the sample size increase. LÄS MER