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An Investigation and Development of Three Estimators of Inverse Covariance Matrices With Applications to the Mahalanobis Distance
Högskolan i Jönköping.
Högskolan i Jönköping.ORCID iD: 0000-0002-3623-5034
2010 (English)Report (Other academic)
Abstract [en]

This paper treats the problem of estimating the inverse covariance matrix in an   increasing   dimension   context.   Specifically,   three   ridge-type   estimators   are considered,  of  which  two  new  are  proposed  by  the  authors  and  one  has  been considered previously. Risk functions for deciding an appropriate value of the ridge coefficient  are  developed  and  the  finite  sample  properties  of  the  estimators  are investigated   in   a   Monte   Carlo   simulation.   Moreover,   risk   functions   for   the Mahalanobis distance are derived which, in turn, leads to three new estimators which has not been considered previously.

Place, publisher, year, edition, pages
Jönköping, 2010. , 27 p.
Series
JIBS Working Papers, 11
Keyword [en]
Ridge estimators, inverse covariance matrix, increasing dimension, Mahalanobis distance, adaptive estimator
National Category
Probability Theory and Statistics
Identifiers
URN: urn:nbn:se:lnu:diva-28545OAI: oai:DiVA.org:lnu-28545DiVA: diva2:643714
Available from: 2013-08-28 Created: 2013-08-27 Last updated: 2017-04-18Bibliographically approved

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Holgersson, ThomasKarlsson, Peter S.

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CiteExportLink to record
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