Robust dependence modeling for high-dimensional covariance matrices with financial applications

DOI10.1214/17-AOAS1087zbMath1405.62150OpenAlexW2884466521WikidataQ129462842 ScholiaQ129462842MaRDI QIDQ1624844

Roy E. Welsch, Zhe Zhu

Publication date: 16 November 2018

Published in: The Annals of Applied Statistics (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.aoas/1532743492

zbMATH Keywords

robust estimationportfolio selectionregular vineactive asset allocationcovariance/correlation estimationhigh-dimensional dependence modeling

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Applications of statistics to actuarial sciences and financial mathematics (62P05) Robustness and adaptive procedures (parametric inference) (62F35) Portfolio theory (91G10)

Uses Software

• mvBACON

Cites Work

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• On the relation between S-estimators and M-estimators of multivariate location and covariance
• A distribution-free M-estimator of multivariate scatter
• BACON: blocked adaptive computationally efficient outlier nominators.
• Vines -- a new graphical model for dependent random variables.
• Uncertainty Analysis with High Dimensional Dependence Modelling

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