Some statistical problems with high dimensional financial data

DOI10.1007/978-3-030-11364-3_11zbMATH Open1420.62241arXiv1808.02953OpenAlexW3125659313MaRDI QIDQ5227362FDOQ5227362

Authors: Arnab Chakrabarti, Rituparna Sen 

Publication date: 26 July 2019

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

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.

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

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zbMATH Keywords

principal component analysiscovariance matrixhigh-dimensional financial data

Mathematics Subject Classification ID

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

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Cited In (1)

• Jianqing Fan: Methodology and Insight in Statistics, Financial Crisis, High Dimensional Challenges

Uses Software

• glasso
• PMA

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