Data for: Fixed support positive-definite modification of covariance matrix estimators via linear shrinkage

Published: 24 Dec 2018 | Version 1 | DOI: 10.17632/jbjpp485t5.1
Contributor(s):

Description of this data

Fixed support positive definite modification of covariance matrix estimators via linear shrinkage
by Young-Geun Choi, Junyong Park, Anindya Roy, and Johan Lim

Chapter 4. Simulations
run the followings consequtively (1 -> 2 -> 3 and 4):

  1. (repeatedly generate data and calculate estimators and store results) /simulation/simul_cov/covsim.R
  2. (aggregate results over replications) /simulation/simul_cov/replication_aggregate.R
  3. (2.1 empirical spectrum) /simulation/simul_cov/result_empiricalspectrum.R
  4. (2.2 error comparison) /simulation/simul_cov/result_empiricalerrors.R

Chapter 5. Data examples
5.1. Speech recognition (coded in MATLAB):
run /data_examples/1_speech/DA_main.m
5.2. Portfolio (coded in MATLAB):
run /data_examples/2_portfolio/positiveMVR_exec_daily.m and simpleMVR_exec_daily.m

Experiment data files

This data is associated with the following publication:

Fixed support positive-definite modification of covariance matrix estimators via linear shrinkage

Published in: Journal of Multivariate Analysis

Latest version

  • Version 1

    2018-12-24

    Published: 2018-12-24

    DOI: 10.17632/jbjpp485t5.1

    Cite this dataset

    Lim, Johan; Choi, Young-Geun (2018), “Data for: Fixed support positive-definite modification of covariance matrix estimators via linear shrinkage”, Mendeley Data, v1 http://dx.doi.org/10.17632/jbjpp485t5.1

Statistics

Views: 64
Downloads: 7

Categories

Covariance Matrix Estimation

Licence

CC BY 4.0 Learn more

The files associated with this dataset are licensed under a Creative Commons Attribution 4.0 International licence.

What does this mean?
You can share, copy and modify this dataset so long as you give appropriate credit, provide a link to the CC BY license, and indicate if changes were made, but you may not do so in a way that suggests the rights holder has endorsed you or your use of the dataset. Note that further permission may be required for any content within the dataset that is identified as belonging to a third party.

Report