Year: 2023
Type: article
Abstract: The estimation of signal dimension under heavy-tailed latent variable models is studied. As a primary contribution, robust extensions of an earlier estimator based on Gaussian Stein’s unbiased risk estimation are proposed. These novel extensions are based on the framework of elliptical distributions and robust scatter matrices. Extensive simulation studies are conducted in order to compare the novel methods with several well-known competitors in both estimation accuracy and computational speed. The novel methods are applied to a financial asset return data set.
Source: Statistical Papers
Authors: Joni Virta, Niko Lietzén, Henri Nyberg
Institution: University of Turku
Language: English
Subfield: Statistics and Probability
Field: Mathematics
Domain: Physical Sciences
Open Access status: hybrid
Estimated APC paid: $2,890
OpenAlex ID: W4389498145