Results 41 to 50 of about 34,245 (290)

Nonlinear shrinkage of the covariance matrix for portfolio selection: Markowitz meets Goldilocks [PDF]

, 2014
Markowitz (1952) portfolio selection requires estimates of (i) the vector of expected returns and (ii) the covariance matrix of returns. Many proposals to address the first question exist already. This paper addresses the second question.
Ledoit, Olivier, Wolf, Michael
core   +2 more sources

Efficient feature selection using shrinkage estimators [PDF]

Machine Learning, 2019
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Konstantinos Sechidis, Laura Azzimonti, Adam Pocock, Giorgio Corani, James Weatherall, Gavin Brown   +5 more
openaire   +2 more sources

Shrinkage Algorithms for MMSE Covariance Estimation

, 2009
We address covariance estimation in the sense of minimum mean-squared error (MMSE) for Gaussian samples. Specifically, we consider shrinkage methods which are suitable for high dimensional problems with a small number of samples (large p small n). First,
Alfred O. Hero, Ami Wiesel, Senior Member, Student Member, Yilun Chen, Yonina C. Eldar   +5 more
core   +2 more sources

On Improved Loss Estimation for Shrinkage Estimators

Statistical Science, 2012
Let $X$ be a random vector with distribution $P_ $ where $ $ is an unknown parameter. When estimating $ $ by some estimator $ (X)$ under a loss function $L( , )$, classical decision theory advocates that such a decision rule should be used if it has suitable properties with respect to the frequentist risk $R( , )$.
Fourdrinier, Dominique, Wells, Martin T.
openaire   +3 more sources

Pre-Test Single and Double Stage Shrunken Estimators for the Mean of Normal Distribution with Known Variance

مجلة بغداد للعلوم, 2010
This paper is concerned with pre-test single and double stage shrunken estimators for the mean (?) of normal distribution when a prior estimate (?0) of the actule value (?) is available, using specifying shrinkage weight factors ?(?) as well as pre-test ...
Baghdad Science Journal
doaj   +1 more source

Nonlinear shrinkage estimation of large-dimensional covariance matrices [PDF]

, 2011
Many statistical applications require an estimate of a covariance matrix and/or its inverse. When the matrix dimension is large compared to the sample size, which happens frequently, the sample covariance matrix is known to perform poorly and may suffer ...
Ledoit, Olivier, Wolf, Michael
core   +3 more sources

Large Dimensional Analysis and Optimization of Robust Shrinkage Covariance Matrix Estimators

, 2014
This article studies two regularized robust estimators of scatter matrices proposed (and proved to be well defined) in parallel in (Chen et al., 2011) and (Pascal et al., 2013), based on Tyler's robust M-estimator (Tyler, 1987) and on Ledoit and Wolf's ...
Couillet, Romain, McKay, Matthew R.
core   +4 more sources

Survival for Children Diagnosed With Wilms Tumour (2012–2022) Registered in the UK and Ireland Improving Population Outcomes for Renal Tumours of Childhood (IMPORT) Study

Pediatric Blood &Cancer, EarlyView.
ABSTRACT Background The Improving Population Outcomes for Renal Tumours of childhood (IMPORT) is a prospective clinical observational study capturing detailed demographic and outcome data on children and young people diagnosed with renal tumours in the United Kingdom and the Republic of Ireland.
Naomi Ssenyonga, Angela Lopez‐Cortes, Reem Al‐Saadi, Suzanne Tugnait, Kristina Dzhuma, Catriona Duncan, Gordan Vujanic, Tanzina Chowdhury, Claudia Allemani, Michel P. Coleman, Kathy Pritchard‐Jones, the Children's Cancer and Leukaemia Group (CCLG) Renal Tumour Special Interest Group, Hugh Bishop, Anthony McCarthy, Pamela Kearns, Helen Rees, Amos Burke, Meriel Jenney, Jane Pears, Hamish Wallace, Milind Ronghe, Tanzina Chowdhury, Susan Picton, Emma Ross, Lisa Howell, Bernadette Brennan, Gail Halliday, Richard Grundy, Shaun Wilson, Sucheta Vaidya, Daniel Yeomanson, Jessica Bate, Vesna Pavasovic, Jessica Bate, Sabine Irtan, Jesper Brok, Minou Oostveen, Kristina Dzhuma, Mark Weeks, Richard Williams, Mark Powis, Max Pachl, Bruce Okoye, Naima Smeulders, Gordan Vujanic, Oystein Olsen, Tom Watson, Susan Shelmerdine, Dan Saunders, Angela Lopez-Cortes, Taryn Treger, Tom Jackson, Suzanne Tugnait, Lisa Howell, Tanzina Chowdhury, Sam Behjati, Angela Polanco   +56 more
wiley   +1 more source

On Jeffery Prior Distribution in Modified Double Stage Shrinkage-Bayesian Estimator for Exponential Mean

Journal of Kufa for Mathematics and Computer, 2012
        This paper is concerned with Modified Double Stage Shrinkage Bayesian (DSSB) Estimator for lowering the mean squared error of classical estimator  for the scale parameter (q) of an Exponential Distribution in suitable region (R) around ...
Abbas Najim Salman, Assel Hussein Ali, Maha A Mohammed   +2 more
doaj   +1 more source

Almost unbiased modified ridge-type estimator: An application to tourism sector data in Egypt

Heliyon, 2022
This paper introduces an almost unbiased modified ridge-type estimator (AUMRTE) to avoid problems arising from multicollinearity. This estimator has the important features of the two important shrinkage estimators, the modified ridge-type estimator (MRTE)
Tarek Mahmoud Omara
doaj   +1 more source