论文标题
通过确定的稳健信号维度估计
Robust signal dimension estimation via SURE
论文作者
论文摘要
研究了在重尾潜在因子模型下的信号维度的估计。作为主要贡献，提出了基于高斯Stein的无偏风险估计的早期估计量的稳健扩展。这些新颖的扩展基于椭圆形分布和稳健散射矩阵的框架。进行了广泛的仿真研究，以将新方法与几个知名竞争者进行估计准确性和计算速度进行比较。新方法应用于金融资产返回数据集。
The estimation of signal dimension under heavy-tailed latent factor 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.
