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Analysis of elliptical copula correlation factor model with Kendall's tau
Elliptical copula correlation matrix factor model Kendall’s tau nuclear norm penalty oracle inequality primal-dual certificate
2013/6/14
We study a factor model for the correlation matrix $\Sigma\in\RR^{d\times d}$ of an elliptical copula. The correlations are connected to Kendall's tau and a natural estimation procedure is to plug-in ...
A flexible observed factor model with separate dynamics for the factor volatilities and their correlation matrix
Correlated factors Inverse Wishart Markov chain Monte Carlo
2011/7/5
Our article considers a regression model with observed factors. The observed factors have a flexible stochastic volatility structure that has separate dynamics for the volatilities and the correlation...
A latent factor model for spatial data with informative missingness
Binary spatial data informative cluster size multivariate data
2010/10/19
A large amount of data is typically collected during a periodontal exam. Analyzing these data poses several challenges. Several types of measurements are taken at many locations throughout the mouth....
High Dimensional Covariance Matrix Estimation Using a Factor Model
Factor model diverging dimensionality covariance matrixestimation consistency asymptotic normality optimal portfolio
2010/4/26
High dimensionality comparable to sample size is common in many statistical
problems. We examine covariance matrix estimation in the asymptotic
framework that the dimensionality p tends to ∞ as the ...