Some statistical problems with high dimensional financial data

DOI10.1007/978-3-030-11364-3_11MaRDI QIDQ5227362zbMATH OpenOpenAlexFDO

Authors Arnab Chakrabarti, Rituparna Sen

Publication date 26 July 2019

Published in New Economic Windows (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1808.02953

zbMATH Keywords

covariance matrixhigh-dimensional financial dataprincipal component analysis

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Factor analysis and principal components; correspondence analysis (62H25) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Abstract: For high dimensional data, some of the standard statistical techniques do not work well. So modification or further development of statistical methods are necessary. In this paper, we explore these modifications. We start with the important problem of estimating high dimensional covariance matrix. Then we explore some of the important statistical techniques such as high dimensional regression, principal component analysis, multiple testing problems and classification. We describe some of the fast algorithms that can be readily applied in practice.

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Cited in

(3)

• Editorial: High dimensional problems in econometrics
• Jianqing Fan: Methodology and Insight in Statistics, Financial Crisis, High Dimensional Challenges
• Surprising geometrical properties of high-dimension low-sample size data with devastating consequences for data analysis

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• glasso
• PMA

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