scholarly journals Mahalanobis Distances on Factor Model Based Estimation

Econometrics ◽  
2020 ◽  
Vol 8 (1) ◽  
pp. 10
Author(s):  
Deliang Dai
Keyword(s):  
Covariance Matrix ◽  
Mahalanobis Distance ◽  
Factor Model ◽  
Original Sample ◽  
Mahalanobis Distances ◽  
Model Based ◽  
New Type ◽  
New Form ◽  
Contamination Effects

A factor model based covariance matrix is used to build a new form of Mahalanobis distance. The distribution and relative properties of the new Mahalanobis distances are derived. A new type of Mahalanobis distance based on the separated part of the factor model is defined. Contamination effects of outliers detected by the new defined Mahalanobis distances are also investigated. An empirical example indicates that the new proposed separated type of Mahalanobis distances predominate the original sample Mahalanobis distance.

Improving Mean Variance Optimization through Sparse Hedging Restrictions

2015 ◽  
Vol 50 (6) ◽  
pp. 1415-1441 ◽  
Author(s):  
Shingo Goto ◽  
Yan Xu
Keyword(s):  
Covariance Matrix ◽  
Factor Model ◽  
Risk Minimization ◽  
Portfolio Risk ◽  
Finite Samples ◽  
Inverse Covariance Matrix ◽  
Out Of Sample ◽  
Nonnegativity Constraints ◽  
Mean Variance ◽  
Equal Weighting

AbstractIn portfolio risk minimization, the inverse covariance matrix prescribes the hedge trades in which a stock is hedged by all the other stocks in the portfolio. In practice with finite samples, however, multicollinearity makes the hedge trades too unstable and unreliable. By shrinking trade sizes and reducing the number of stocks in each hedge trade, we propose a “sparse” estimator of the inverse covariance matrix. Comparing favorably with other methods (equal weighting, shrunk covariance matrix, industry factor model, nonnegativity constraints), a portfolio formed on the proposed estimator achieves significant out-of-sample risk reduction and improves certainty equivalent returns after transaction costs.

A new type of model-based Roentgen stereophotogrammetric analysis for solving the occluded marker problem

2005 ◽  
Vol 38 (11) ◽  
pp. 2330-2334 ◽  
Author(s):  
B.L. Kaptein ◽  
E.R. Valstar ◽  
B.C. Stoel ◽  
P.M. Rozing ◽  
J.H.C. Reiber
Keyword(s):  
Roentgen Stereophotogrammetric Analysis ◽  
Model Based ◽  
New Type

scholarly journals ON DETERMINING THE NUMBER OF SPIKES IN A HIGH-DIMENSIONAL SPIKED POPULATION MODEL

2012 ◽  
Vol 01 (01) ◽  
pp. 1150002 ◽  
Author(s):  
DAMIEN PASSEMIER ◽  
JIAN-FENG YAO
Keyword(s):  
Covariance Matrix ◽  
Population Model ◽  
Factor Model ◽  
Fundamental Problem ◽  
High Dimensional ◽  
Sample Covariance ◽  
Or Economics ◽  
Linear Mixture Model ◽  
The Difference ◽  
Scientific Fields

In a spiked population model, the population covariance matrix has all its eigenvalues equal to units except for a few fixed eigenvalues (spikes). Determining the number of spikes is a fundamental problem which appears in many scientific fields, including signal processing (linear mixture model) or economics (factor model). Several recent papers studied the asymptotic behavior of the eigenvalues of the sample covariance matrix (sample eigenvalues) when the dimension of the observations and the sample size both grow to infinity so that their ratio converges to a positive constant. Using these results, we propose a new estimator based on the difference between two consecutive sample eigenvalues.

scholarly journals A Review on a Straight Bevel Gear Made from Composite

2016 ◽  
Vol 5 (3) ◽  
pp. 73 ◽  
Author(s):  
Haidar F. AL-Qrimli ◽  
Karam S. Khalid ◽  
Ahmed M. Abdelrhman ◽  
Roaad K. Mohammed A ◽  
Husam M. Hadi
Keyword(s):  
Composite Material ◽  
Composite Materials ◽  
Power Transmission ◽  
Bevel Gear ◽  
Robotic Arm ◽  
Straight Bevel Gear ◽  
Different Types ◽  
New Type ◽  
New Form ◽  
Material Composite

The purpose of this work is to present a clear fundamental thought for designing and investigating straight bevel gear made of composite material. Composite materials have the advantage of being light, producing low noises, and extra loading capacities. Due to these properties, it is highly preferable over conventional materials. A comparison between different types of material used in a gear structure will be shown. The outcome shows that a new form of cheap material may be useful for designing a new type of lighter and stiffer gear, designed for robotic arm applications or any power transmission application.

scholarly journals The Musical Phenomenon in the Films of Sergey Parajanov

2019 ◽  
Vol 37 (2) ◽  
pp. 64-77
Author(s):  
S. K. Sarkisyan
Keyword(s):  
Silent Film ◽  
The Arts ◽  
New Type ◽  
New Form ◽  
The Spectator

Music and cinema are two arts that have shown the most varied synthesis on semiotic and phenomenological levels during their century-old history. The permeation of these two arts has given birth to a substantially new form of their existence. That is the reason that the films and the complete creation of Sergey Parajanov are somehow situated in between these arts, between the plasticity of the cinema and the expressiveexpressiveness of the silent film. The overflowing of characteristics from one art to another does not occur to the detriment of the genre category of this particular art; in other words, the film does not cease to be film, nor is this the case with music. It would be more precise to confirm just the opposite: the permeation of the characteristics between the arts enriches each individual art, because the associative degree is augmented. This circumstance influences the perception of these arts, especially of the cinema. It acquires the capacity to actively influence the spectator, seemingly evading its basic visual rank. This genre of cinema refers to intellectual, sensual and subconscious incentives, forming at the same time a new type of spectator.

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