4 papers · 1 filter
Restricted nonlinear shrinkage of high-dimensional residual covariance matrices in multivariate regressions
Hamid Karamikabir, Mohammad Arashi
We study estimation of the p*p residual scatter (shape) matrix in a high-dimensional multivariate linear regression, where p and n grow proportionally. When the coefficient matrix…
Mens: Nonlinear shrinkage estimation in nonparanormal models for financial applications
Hamid Karamikabir, Mohammad Arashi
We develop a theory of nonlinear shrinkage covariance estimation for nonparanormal (Gaussian-copula) models, in which each observed coordinate is an unknown strictly increasing tra…
Covariance Matrix Estimation for High-Dimensional Interval-Valued Data with Positive Definiteness
Wan Tian, Wenhao Cui, Rui Zhang +3
In the realm of high-dimensional data analysis, the estimation of covariance matrices is a fundamental task, and this holds true for interval-valued data as well. However, there is…
Weighted Conformal Prediction for Survival Analysis under Covariate Shift
Jaeyoung Shin, Chi Hyun Lee, Sangwook Kang
Reliable uncertainty quantification is essential in survival prediction, particularly in clinical settings where erroneous decisions carry high risk. Conformal prediction has attra…