高维椭圆分布的校准精度矩阵估计
Calibrated Precision Matrix Estimation for High-Dimensional Elliptical Distributions.
作者信息
Zhao Tuo, Liu Han
机构信息
Department of Operations Research and Financial Engineering, Princeton University, Princeton, NJ 08544 USA, and also with the Department of Computer Science, Johns Hopkins University, Baltimore, MD 21218 USA (
Department of Operations Research and Financial Engineering, Princeton University, Princeton, NJ 08544 USA (
出版信息
IEEE Trans Inf Theory. 2014 Dec;60(12):7874-7887. doi: 10.1109/TIT.2014.2360980.
We propose a semiparametric method for estimating a precision matrix of high-dimensional elliptical distributions. Unlike most existing methods, our method naturally handles heavy tailness and conducts parameter estimation under a calibration framework, thus achieves improved theoretical rates of convergence and finite sample performance on heavy-tail applications. We further demonstrate the performance of the proposed method using thorough numerical experiments.
我们提出了一种半参数方法来估计高维椭圆分布的精度矩阵。与大多数现有方法不同，我们的方法能自然地处理厚尾性，并在校准框架下进行参数估计，从而在厚尾应用中实现了改进的理论收敛速度和有限样本性能。我们还通过全面的数值实验证明了所提方法的性能。
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