| 高维协方差矩阵估计方法的比较 |
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| 引用本文： | 李小雪,明瑞星. 高维协方差矩阵估计方法的比较[J]. 江西师范大学学报(自然科学版), 2015, 0(6): 599-604 |
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| 作者姓名： | 李小雪 明瑞星 |
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| 作者单位： | 浙江工商大学统计与数学学院,浙江 杭州 310018 |
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| 摘 要： | 通过模拟比较门限估计方法和收缩估计方法之间的差异,得出2种方法在实际应用中的使用范围.由模拟结果可知,若有确切的证据表明总体协方差矩阵是稀疏矩阵,则采用门限估计方法,否则,采用稳健的收缩估计方法比较恰当.
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| 关 键 词： | 高维协方差矩阵 稀疏矩阵 非稀疏矩阵 门限估计 收缩估计 |
The Comparison of Methods for Estimating the High-Dimensional Covariance Matrices |
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| LI Xiaoxue,MING Ruixing. The Comparison of Methods for Estimating the High-Dimensional Covariance Matrices[J]. Journal of Jiangxi Normal University (Natural Sciences Edition), 2015, 0(6): 599-604 |
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| Authors: | LI Xiaoxue MING Ruixing |
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| Affiliation: | School of Statistics and Mathematics,Zhejiang Gongshang University,Hangzhou Zhejiang 310018,China |
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| Abstract: | The differences between the thresholding estimation and the shrinking estimation are reported by a series of simulations,and the proper estimation is proposed within these two estimations in practice.The simulations show that if the population covariance matrix is a sparse matrix,the thresholding estimation is better than that of the shrinking estimation,and vice versa. |
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| Keywords: | high-dimensional covariance matrix sparse matrix non-parse matrix thresholding estimation shrinkage estimation |
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