IDEAS home Printed from https://ideas.repec.org/p/hhb/hjacfi/2010_011.html
   My bibliography  Save this paper

An Investigation and Development of Three Estimators of Inverse Covariance Matrices with Applications to the Mahalanobis Distance

Author

Listed:
  • Holgersson, Thomas

    (Jönköping International Business School)

  • Karlsson, Peter

    (Jönköping International Business School)

Abstract

This paper treats the problem of estimating the inverse covariance matrix in an increasing dimension context. Specifically, three ridge-type estimators are considered, of which two new are proposed by the authors and one has been considered previously. Risk functions for deciding an appropriate value of the ridge coefficient are developed and the finite sample properties of the estimators are investigated in a Monte Carlo simulation. Moreover, risk functions for the Mahalanobis distance are derived which, in turn, leads to three new estimators which has not been considered previously

Suggested Citation

  • Holgersson, Thomas & Karlsson, Peter, 2010. "An Investigation and Development of Three Estimators of Inverse Covariance Matrices with Applications to the Mahalanobis Distance," JIBS Working Papers 2010-11, Jönköping International Business School.
    • Handle: RePEc:hhb:hjacfi:2010_011
    as

    Download full text from publisher

    File URL: http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-14515
    Download Restriction: no
    ---><---

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:hhb:hjacfi:2010_011. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Susanne Hansson or Stefan Carlstein (email available below). General contact details of provider: https://edirc.repec.org/data/ihhhjse.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.