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Statistical Corrections of Invalid Correlation Matrices

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  • Anders Løland
  • Ragnar Bang Huseby
  • Nils Lid Hjort
  • Arnoldo Frigessi

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  • Anders Løland & Ragnar Bang Huseby & Nils Lid Hjort & Arnoldo Frigessi, 2013. "Statistical Corrections of Invalid Correlation Matrices," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 40(4), pages 807-824, December.
    • Handle: RePEc:bla:scjsta:v:40:y:2013:i:4:p:807-824
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    File URL: http://hdl.handle.net/10.1111/sjos.12035
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    References listed on IDEAS

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    1. Zou, Hui, 2006. "The Adaptive Lasso and Its Oracle Properties," Journal of the American Statistical Association, American Statistical Association, vol. 101, pages 1418-1429, December.
    2. Raoul Pietersz & Patrick Groenen, 2004. "Rank reduction of correlation matrices by majorization," Quantitative Finance, Taylor & Francis Journals, vol. 4(6), pages 649-662.
    3. Poirier, Dale J & Tobias, Justin L, 2003. "On the Predictive Distributions of Outcome Gains in the Presence of an Unidentified Parameter," Journal of Business & Economic Statistics, American Statistical Association, vol. 21(2), pages 258-268, April.
    4. Cristiano Varin, 2008. "On composite marginal likelihoods," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 92(1), pages 1-28, February.
    5. Bergersen Linn Cecilie & Glad Ingrid K. & Lyng Heidi, 2011. "Weighted Lasso with Data Integration," Statistical Applications in Genetics and Molecular Biology, De Gruyter, vol. 10(1), pages 1-29, August.
    6. William F. Sharpe, 1964. "Capital Asset Prices: A Theory Of Market Equilibrium Under Conditions Of Risk," Journal of Finance, American Finance Association, vol. 19(3), pages 425-442, September.
    7. Poirier, Dale J., 1998. "Revising Beliefs In Nonidentified Models," Econometric Theory, Cambridge University Press, vol. 14(4), pages 483-509, August.
    8. John C. Liechty, 2004. "Bayesian correlation estimation," Biometrika, Biometrika Trust, vol. 91(1), pages 1-14, March.
    9. Nils Lid Hjort & Cristiano Varin, 2008. "ML, PL, QL in Markov Chain Models," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 35(1), pages 64-82, March.
    10. A. Frigessi & A. Løland & A. Pievatolo & F. Ruggeri, 2011. "Statistical rehabilitation of improper correlation matrices," Quantitative Finance, Taylor & Francis Journals, vol. 11(7), pages 1081-1090.
    11. Hjort, Nils Lid & Dahl, Fredrik A. & Steinbakk, Gunnhildur Hognadottir, 2006. "Post-Processing Posterior Predictive p Values," Journal of the American Statistical Association, American Statistical Association, vol. 101, pages 1157-1174, September.
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    Cited by:

    1. Li, J. & Nott, D.J. & Fan, Y. & Sisson, S.A., 2017. "Extending approximate Bayesian computation methods to high dimensions via a Gaussian copula model," Computational Statistics & Data Analysis, Elsevier, vol. 106(C), pages 77-89.
    2. Tarr, G. & Müller, S. & Weber, N.C., 2016. "Robust estimation of precision matrices under cellwise contamination," Computational Statistics & Data Analysis, Elsevier, vol. 93(C), pages 404-420.

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