High-Dimensional Covariance Matrix Estimation

An Introduction to Random Matrix Theory
1. Auflage 2021
ISBN: 978-3-030-80064-2
Verlag: Springer International Publishing

Buch, Englisch, 115 Seiten, Format (B × H): 155 mm x 235 mm, Gewicht: 213 g

Reihe: SpringerBriefs in Applied Statistics and Econometrics

This book presents covariance matrix estimation and related aspects of random matrix theory. It focuses on the sample covariance matrix estimator and provides a holistic description of its properties under two asymptotic regimes: the traditional one, and the high-dimensional regime that better fits the big data context. It draws attention to the deficiencies of standard statistical tools when used in the high-dimensional setting, and introduces the basic concepts and major results related to spectral statistics and random matrix theory under high-dimensional asymptotics in an understandable and reader-friendly way. The aim of this book is to inspire applied statisticians, econometricians, and machine learning practitioners who analyze high-dimensional data to apply the recent developments in their work.

Zielgruppe

Research

Autoren/Hrsg.

Zagidullina, Aygul

Fachgebiete

• Wirtschaftswissenschaften Betriebswirtschaft Wirtschaftsmathematik und -statistik
• Mathematik | Informatik Mathematik Stochastik Mathematische Statistik
• Mathematik | Informatik EDV | Informatik Informatik Künstliche Intelligenz Maschinelles Lernen
• Wirtschaftswissenschaften Volkswirtschaftslehre Volkswirtschaftslehre Allgemein Ökonometrie
• Mathematik | Informatik EDV | Informatik Daten / Datenbanken Big Data

Inhaltsverzeichnis

Foreword.- 1 Introduction.- 2 Traditional Estimators and Standard Asymptotics.- 3 Finite Sample Performance of Traditional Estimators.- 4 Traditional Estimators and High-Dimensional Asymptotics.- 5 Summary and Outlook.- Appendices.

Über Autor(innen)

Aygul Zagidullina received her Ph.D. in Quantitative Economics and Finance from the University of Konstanz, Germany, with a specialization in the areas of financial econometrics and statistical modeling. Her research interests include estimation of high-dimensional covariance matrices, machine learning, factor models and neural networks.