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Estimation of a Function of a Large Covariance Matrix Using Classical and Bayesian Methods
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| 자료유형 | E-Book |
|---|---|
| 개인저자 | Law, Judith. |
| 단체저자명 | University of Maryland, College Park. Mathematics. |
| 서명/저자사항 | Estimation of a Function of a Large Covariance Matrix Using Classical and Bayesian Methods. |
| 발행사항 | [S.l.] : University of Maryland, College Park., 2018 |
| 발행사항 | Ann Arbor : ProQuest Dissertations & Theses, 2018 |
| 형태사항 | 84 p. |
| 소장본 주기 | School code: 0117. |
| ISBN | 9780438153806 |
| 일반주기 |
Source: Dissertation Abstracts International, Volume: 79-12(E), Section: B.
Adviser: Partha Lahiri. |
| 요약 | In this dissertation, we consider the problem of estimating a high dimensional covariance matrix in the presence of small sample size. The proposed Bayesian solution is general and can be applied to different functions of the covariance matrix i |
| 요약 | Using Monte Carlo simulations and real data analysis, we show that for small sample size, allocation estimates based on the sample covariance matrix can perform poorly in terms of the traditional measures used to evaluate an allocation for portf |
| 일반주제명 | Statistics. |
| 언어 | 영어 |
| 기본자료 저록 | Dissertation Abstracts International79-12B(E). Dissertation Abstract International |
| 대출바로가기 | http://www.riss.kr/pdu/ddodLink.do?id=T14997398 |
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| No. | 등록번호 | 청구기호 | 소장처 | 도서상태 | 반납예정일 | 예약 | 서비스 | 매체정보 |
|---|---|---|---|---|---|---|---|---|
| 1 | WE00026817 | DP 310 | 가야대학교/전자책서버(컴퓨터서버)/ | 대출불가(별치) |
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