Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
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Showing 1 to 8 of 8 for “"shrinkage estimator"”.
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Enhanced minimum variance optimisation: a pragmatic approach
… multicriteria problem, together with covariance shrinkage – improve the performance of the MVP. The factor tilts examined include Active Distance, Concentration and Volume. Additionally, the constant correlation model is employed in the estimation of the shrinkage intensity, structured covariance …
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Optimal Portfolio Construction for Oil-Based Sovereign Wealth Funds
… to oil. The second case uses the Bayesian-shrinkage estimator for estimating the variance–covariance matrix and incorporates an informative prior within a Bayesian framework to estimate expected returns. Comparisons among the different models and inputs demonstrate that these advanced …
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Geometric Methods for Point Estimation
… decision theory motivate the construction of new estimators for location parameters. The second half of this work explores information geometric aspects of covariance matrix estimation. In a regular statistical model the Fisher information metric endows the parameter space with a Riemannian …
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Estimation of Variation For High-throughput Molecular Biological Experiments With Small Sample Size
… of the biological phenotype. We propose a shrinkage estimator of dispersion under Negative Binomial models to regularize the estimates towards a value calculated from common information across genes.</p> <p>Lastly <em>iii)</em> in the MS/MS experiments with SWATH acquisition, more than 10 …
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Essays in Financial Econometrics
… High-Dimensional Covariance Matrix Estimation: Shrinkage Using a Diagonal Target proposes a novel shrinkage estimator for high-dimensional covariance matrices by extending the Oracle Approximating Shrinkage (OAS) to target the diagonal elements of the sample covariance matrix. When the diagonal …
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Simple strategies for variance uncertainty in meta-analysis
… in fixed-effects meta-analysis the overall estimator usually used in practice tends to have a variance higher than the optimal one even though this appears to be lower, just by chance. In performing a fixed-effects meta-analysis, individual estimates are weighted proportionately to the …
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Simple Strategies for Variance Uncertainty in Meta-Analysis
… in fixed-effects meta-analysis the overall estimator usually used in practice tends to have a variance higher than the optimal one even though this appears to be lower, just by chance.<br/> In performing a fixed-effects meta-analysis, individual treatment estimates are weighted proportionately …
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Portfolio selection in case of high dimensionality
Das Problem der Portfolioauswahl war immer eines der wichtigsten Themen in der Investionstheorie. Das betrifft nicht nur das Verfahren der Portfolioauswahl an sich aber auch die Probleme der Einschätzung des Erwartunswerts und der Kovarianz. Da grosse Datenmenge heutzutage verfügbar ist, wird das …