Let $\{X_{ij}\}$, i, j =..., be a double array of i.i.d. complex random variables with EX₁₁ = 0, E|X₁₁|² = 1 and E|X₁₁|⁴ < ∞, and let $A_{n}=\frac{1 ...
Multivariate meta-regression models are commonly used in settings where the response variable is naturally multidimensional. Such settings are common in cardiovascular and diabetes studies where the ...
Graphical models provide a robust framework for representing the conditional independence structure between variables through networks, enabling nuanced insight into complex high-dimensional data.
The estimation of portfolio value-at-risk (VaR) requires a good estimate of the covariance matrix. As it is well known that a sample covariance matrix based on some historical rolling window is noisy ...
Investopedia contributors come from a range of backgrounds, and over 25 years there have been thousands of expert writers and editors who have contributed. Gordon Scott has been an active investor and ...
Download PDF More Formats on IMF eLibrary Order a Print Copy Create Citation This paper proposes a novel shrinkage estimator for high-dimensional covariance matrices by extending the Oracle ...
This section contains a collection of formulas used in computing indices to assess the goodness of fit by PROC CALIS. The following notation is used: For estimation methods that are not BGLS ...
The BLOCKS statement finds a design that maximizes the determinant |X'AX| of the treatment information matrix, where A depends on the block or covariate model. Alternatively, you can directly specify ...
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