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Sparse Methods for Analysis of Sparse Multivariate Data From Big Economic Databases

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Listed:
  • Jerzy Rydlewski
  • Małgorzata Snarska
  • Dominik Mielczarek
  • Daniel Kosiorowski

Abstract

In this paper we present a novel perspective dedicated for sparse highdimensional data sets, i.e. data which contain many zeros among coordinates of observations. Using jointly, selected sparse methods recently proposed in multivariate statistics, and kernel density framework for discrete data, we outline a general perspective for bringing out useful information from big economic databases. As a framework for our considerations we take the so-called functional data analysis, which originates from Ramsay and Silverman works. In particular we use functional principal components analysis within 2D density estimation procedure proposed by Simonoff.

Suggested Citation

  • Jerzy Rydlewski & Małgorzata Snarska & Dominik Mielczarek & Daniel Kosiorowski, 2014. "Sparse Methods for Analysis of Sparse Multivariate Data From Big Economic Databases," Statistics in Transition new series, Główny Urząd Statystyczny (Polska), vol. 15(1), pages 111-132, January.
    • Handle: RePEc:csb:stintr:v:15:y:2014:i:1:p:111-132
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    References listed on IDEAS

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    1. Jeffrey S. Simonoff, 1998. "Three Sides of Smoothing: Categorical Data Smoothing, Nonparametric Regression, and Density Estimation," International Statistical Review, International Statistical Institute, vol. 66(2), pages 137-156, August.
    2. Silverstein, J. W., 1995. "Strong Convergence of the Empirical Distribution of Eigenvalues of Large Dimensional Random Matrices," Journal of Multivariate Analysis, Elsevier, vol. 55(2), pages 331-339, November.
    3. Silverstein, J. W. & Bai, Z. D., 1995. "On the Empirical Distribution of Eigenvalues of a Class of Large Dimensional Random Matrices," Journal of Multivariate Analysis, Elsevier, vol. 54(2), pages 175-192, August.
    4. Ma{l}gorzata Snarska, 2012. "A Random Matrix Approach to Dynamic Factors in macroeconomic data," Papers 1201.6544, arXiv.org.
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    Cited by:

    1. Daniel Kosiorowski, 2014. "Functional Regression in Short-Term Prediction of Economic Time Series," Statistics in Transition new series, Główny Urząd Statystyczny (Polska), vol. 15(4), pages 611-626, September.

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