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Robust signal dimension estimation via SURE

Author

Listed:
  • Joni Virta

    (University of Turku)

  • Niko Lietzén

    (University of Turku)

  • Henri Nyberg

    (University of Turku)

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.

Suggested Citation

  • Joni Virta & Niko Lietzén & Henri Nyberg, 2024. "Robust signal dimension estimation via SURE," Statistical Papers, Springer, vol. 65(5), pages 3007-3038, July.
    • Handle: RePEc:spr:stpapr:v:65:y:2024:i:5:d:10.1007_s00362-023-01512-2
    DOI: 10.1007/s00362-023-01512-2
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    References listed on IDEAS

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