The Experts below are selected from a list of 21498 Experts worldwide ranked by ideXlab platform
Esa Ollila - One of the best experts on this subject based on the ideXlab platform.
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Optimal high-dimensional shrinkage covariance estimation for Elliptical Distributions
2017 25th European Signal Processing Conference (EUSIPCO), 2017Co-Authors: Esa OllilaAbstract:We derive an optimal shrinkage sample covariance matrix (SCM) estimator which is suitable for high dimensional problems and when sampling from an unspecified Elliptically symmetric Distribution. Specifically, we derive the optimal (oracle) shrinkage parameters that obtain the minimum mean-squared error (MMSE) between the shrinkage SCM and the true covariance matrix when sampling from an Elliptical Distribution. Subsequently, we show how the oracle shrinkage parameters can be consistently estimated under the random matrix theory regime. Simulations show the advantage of the proposed estimator over the conventional shrinkage SCM estimator due to Ledoit and Wolf (2004). The proposed shrinkage SCM estimator often provides significantly better performance than the Ledoit-Wolf estimator and has the advantage that consistency is guaranteed over the whole class of Elliptical Distributions with finite 4th order moments.
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EUSIPCO - Optimal high-dimensional shrinkage covariance estimation for Elliptical Distributions
2017 25th European Signal Processing Conference (EUSIPCO), 2017Co-Authors: Esa OllilaAbstract:We derive an optimal shrinkage sample covariance matrix (SCM) estimator which is suitable for high dimensional problems and when sampling from an unspecified Elliptically symmetric Distribution. Specifically, we derive the optimal (oracle) shrinkage parameters that obtain the minimum mean-squared error (MMSE) between the shrinkage SCM and the true covariance matrix when sampling from an Elliptical Distribution. Subsequently, we show how the oracle shrinkage parameters can be consistently estimated under the random matrix theory regime. Simulations show the advantage of the proposed estimator over the conventional shrinkage SCM estimator due to Ledoit and Wolf (2004). The proposed shrinkage SCM estimator often provides significantly better performance than the Ledoit-Wolf estimator and has the advantage that consistency is guaranteed over the whole class of Elliptical Distributions with finite 4th order moments.
Ahad Jamalizadeh - One of the best experts on this subject based on the ideXlab platform.
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on the exact Distribution of order statistics arising from a doubly truncated bivariate Elliptical Distribution
METRON, 2018Co-Authors: Roohollah Roozegar, Ahad Jamalizadeh, Mehdi Amiri, Tsungi LinAbstract:Abstract This paper studies the “truncated extended skew Elliptically contoured” (TESEC) Distributions and their related properties, which have never been discussed in the literature. In particular, we show that the exact Distributions of order statistics arising from a doubly truncated bivariate Elliptical Distribution can be formulated as a mixture of six TESEC Distributions. The explicit formulae for computing the corresponding first two moments are also derived. The proposed results are illustrated with a real dataset relating to the mineral content in humerus bones on the dominant and non-dominant sides.
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Prediction of Variables Via Their Order Statistics in Bivariate Elliptical Distributions with Application in the Financial Markets
Communications in Statistics - Theory and Methods, 2014Co-Authors: Sobhan Shafiei, Doostparast, Ahad JamalizadehAbstract:Assuming that (X1, X2) has a bivariate Elliptical Distribution, we obtain an exact expression for the joint probability density function (pdf) as well as the corresponding conditional pdfs of X1 and X(2) ≔ max {X1, X2}. The problem is motivated by an application in financial markets. Exchangeable random variables are discussed in more detail. Two special cases of the Elliptical Distributions that is the normal and the student’s t models are investigated. For illustrative purposes, a real data set on the total personal income in California and New York is analyzed using the results obtained. Finally, some concluding remarks and further works are discussed.
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On Bivariate Order Statistics from Elliptical Distributions
Communications in Statistics - Theory and Methods, 2014Co-Authors: Reza Pourmousa, Ahad JamalizadehAbstract:In this article, by considering a (m + n)-dimensional random vector (XT, YT)T = (X1, …, Xm, Y1, …, Yn)T having a multivariate Elliptical Distribution, and denoting X(m) = (X(1), …, X(m))T and Y(n) = (Y(1), …, Y(n))T for the vectors of order statistics arising from X and Y, respectively, we derive the exact joint Distribution of (X(r), Y(s))T, for r = 1, …, m and s = 1, …, n, and also joint Distribution of (aTX(m), bTY(n))T where and . Further, by considering an Elliptical Distribution for the (m + n + 1)-dimensional random vector (X0, XT, YT)T, and treating X0 as a covariate variable, we present mixture representations for joint Distributions of (X0, X(m), Y(n))T and (X0, aTX(m), bTY(n))T in terms of multivariate unified skew-Elliptical Distributions. These mixture representations enable us to obtain the best predictors of X0 based on X(m) and Y(n), and X0 based on aTX(m) and bTY(n), and so on. Finally, we illustrate the usefulness of our results by a real-life data.
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a generalized skew two piece skew Elliptical Distribution
Statistical Papers, 2014Co-Authors: Mahdi Salehi, Ahad Jamalizadeh, Mahdi DoostparastAbstract:We present a new generalized family of skew two-piece skew-Elliptical (GSTPSE) models and derive some its statistical properties. It is shown that the new family of Distribution may be written as a mixture of generalized skew Elliptical Distributions. Also, a new representation theorem for a special case of GSTPSE-Distribution is given. Next, we will focus on t kernel density and prove that it is a scale mixture of the generalized skew two-piece skew normal Distributions. An explicit expression for the central moments as well as a recurrence relations for its cumulative Distribution function and density are obtained. Since, this special case is a uni-/bimodal Distribution, a sufficient condition for each cases is given. A real data set on heights of Australian females athletes is analysed. Finally, some concluding remarks and open problems are discussed.
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$$L$$ L -statistics from multivariate unified skew-Elliptical Distributions
Metrika, 2013Co-Authors: R. B. Arellano-valle, H. Mahmoodian, Ahad Jamalizadeh, Narayanaswamy BalakrishnanAbstract:We study here the Distributions of order statistics and linear combinations of order statistics from a multivariate unified skew-Elliptical Distribution. We show that these Distributions can be expressed as mixtures of unified skew-Elliptical Distributions, and then use these mixture forms to study some Distributional properties and moments. Copyright Springer-Verlag Berlin Heidelberg 2014
Andres Kuusk - One of the best experts on this subject based on the ideXlab platform.
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leaf orientation measurement in a mixed hemiboreal broadleaf forest stand using terrestrial laser scanner
Trees-structure and Function, 2020Co-Authors: Andres KuuskAbstract:Orientation of leaves in a mature hemiboreal mixed broadleaf stand (the Jarvselja RAMI birch stand) was measured using the high-density point cloud of terrestrial laser scanner hits. Leaf normal Distribution in the upper part of crowns of tall aspen and birch trees is almost spherical, and slightly planophile in the lower part of crowns. Leaves of alder trees are rather planophile in the upper part of crowns, and strongly planophile in the lower part of crowns. Lime and maple trees form the lower layer of trees in the stand. Their crowns are mainly in shade, and therefore, their leaf orientation is strongly planophile throughout the whole crown. Parameters of beta Distribution and Elliptical Distribution are provided for the approximation of empirical Distributions. The acquired information about leaf orientation can improve performance assessment of radiative transfer models.
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A computer-efficient plant canopy reflectance model
Computers & Geosciences, 1996Co-Authors: Andres KuuskAbstract:Abstract Two analytical models of vegetation canopy reflectance are combined. The new model considers the diffuse and specular reflection of optical radiation on leaves, the canopy hot spot and nonlambertian soil. Diffuse fluxes are treated in a four-stream approximation. An Elliptical Distribution has been used for leaf inclination. Comparisons of the models demonstrate a good agreement. The FORTRAN-77 code of the model can be used in MS-DOS and UNIX environment. A complete set of algorithms of the new model is appended.
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a fast invertible canopy reflectance model
Remote Sensing of Environment, 1995Co-Authors: Andres KuuskAbstract:Abstract Taking advantage of positive features of the Nilson-Kuusk and the SAIL canopy reflectance (CA) models, a new fast CR model has been developed. The new model considers the diffuse and specular reflection of shortwave radiation on leaves, the canopy hot spot, and nonlambertian soil. Diffuse fluxes are treated in a four-stream approximation. An Elliptical Distribution has been used for leaf inclination. Comparisons of the models demonstrate a good agreement. The complete set of algorithms of the new model is appended.
Mahmoud Afshari - One of the best experts on this subject based on the ideXlab platform.
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Wavelet shrinkage generalized Bayes estimation for Elliptical Distribution parameter’s under LINEX loss
International Journal of Wavelets Multiresolution and Information Processing, 2019Co-Authors: Hamid Karamikabir, Mahmoud AfshariAbstract:In this paper, the generalized Bayes estimator of Elliptical Distribution parameter’s under asymmetric Linex error loss function is considered. The new shrinkage generalized Bayes estimator by appl...
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wavelet shrinkage generalized bayes estimation for Elliptical Distribution parameter s under linex loss
International Journal of Wavelets Multiresolution and Information Processing, 2019Co-Authors: Hamid Karamikabir, Mahmoud AfshariAbstract:In this paper, the generalized Bayes estimator of Elliptical Distribution parameter’s under asymmetric Linex error loss function is considered. The new shrinkage generalized Bayes estimator by appl...
Klaas Schulze - One of the best experts on this subject based on the ideXlab platform.
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multi stock portfolio optimization under prospect theory
Mathematics and Financial Economics, 2012Co-Authors: Traian A Pirvu, Klaas SchulzeAbstract:We study how a behavioral agent allocates her portfolio. We consider a cumulative prospect theory investor in a single period setting with one riskless bond and multiple risky stocks, which follow a multivariate Elliptical Distribution. Our main result is a two-fund separation between the riskless bond and a mean–variance-portfolio, up to an exogenous benchmark portfolio. The mean–variance-portfolio, which we derive explicitly, is the same for all agents. Individual risk preferences are mirrored only in the participation in this portfolio. This dependence is illustrated by considering empirical returns. Furthermore we solve ill-posed optimization problems by imposing a regulatory risk constraint. Finally we address specific parameterizations of the value function by studying power, linear, and exponential utility.
