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

DOI10.1214/17-AOAS1087zbMATH Open1405.62150OpenAlexW2884466521WikidataQ129462842 ScholiaQ129462842MaRDI QIDQ1624844FDOQ1624844

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

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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)

Cites Work

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• High dimensional covariance matrix estimation using a factor model
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• A distribution-free M-estimator of multivariate scatter
• Vines -- a new graphical model for dependent random variables.
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• High breakdown-point and high efficiency robust estimates for regression
• Breakdown points of affine equivariant estimators of multivariate location and covariance matrices
• On the relation between S-estimators and M-estimators of multivariate location and covariance
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• Vines inference

Cited In (1)

• Outlier removal for prediction of covariance matrices with an application to portfolio optimization

Uses Software

• mvBACON

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