Artikel
Mahalanobis distances on factor model based estimation
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.
- Language
-
Englisch
- Bibliographic citation
-
Journal: Econometrics ; ISSN: 2225-1146 ; Volume: 8 ; Year: 2020 ; Issue: 1 ; Pages: 1-11 ; Basel: MDPI
- Classification
-
Wirtschaft
- Subject
-
covariance matrix estimation
dimension reduction
multivariate analysis
outlier detection
- Event
-
Geistige Schöpfung
- (who)
-
Dai, Deliang
- Event
-
Veröffentlichung
- (who)
-
MDPI
- (where)
-
Basel
- (when)
-
2020
- DOI
-
doi:10.3390/econometrics8010010
- Handle
- Last update
-
10.03.2025, 11:45 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Artikel
Associated
- Dai, Deliang
- MDPI
Time of origin
- 2020
Other Objects (12)
Semiparametric estimation of a corporate bond rating model
Finding starting-values for the estimation of vector STAR models
Consistency in estimation and model selection of dynamic panel data models with fixed effects
Maximum likelihood estimation of the I(2) model under linear restrictions
Estimation of dynamic panel data models with stochastic volatility using particle filters
Stable-GARCH models for financial returns: Fast estimation and tests for stability
Efficient estimation in heteroscedastic varying coefficient models
Smoothed maximum score estimation of discrete duration models
EM estimation for the Poisson-Inverse Gamma regression model with varying dispersion: An application to insurance ratemaking
Maximum-likelihood estimation in a special integer autoregressive model
Model selection and post selection to improve the estimation of the ARCH model
Common factor cause-specific mortality model
Semiparametric estimation of a corporate bond rating model
Finding starting-values for the estimation of vector STAR models
Consistency in estimation and model selection of dynamic panel data models with fixed effects
Maximum likelihood estimation of the I(2) model under linear restrictions
Estimation of dynamic panel data models with stochastic volatility using particle filters
Stable-GARCH models for financial returns: Fast estimation and tests for stability
Efficient estimation in heteroscedastic varying coefficient models
Smoothed maximum score estimation of discrete duration models
EM estimation for the Poisson-Inverse Gamma regression model with varying dispersion: An application to insurance ratemaking
Maximum-likelihood estimation in a special integer autoregressive model
Model selection and post selection to improve the estimation of the ARCH model
Common factor cause-specific mortality model
Semiparametric estimation of a corporate bond rating model
Finding starting-values for the estimation of vector STAR models
Consistency in estimation and model selection of dynamic panel data models with fixed effects
Maximum likelihood estimation of the I(2) model under linear restrictions
Estimation of dynamic panel data models with stochastic volatility using particle filters
Stable-GARCH models for financial returns: Fast estimation and tests for stability
Efficient estimation in heteroscedastic varying coefficient models
Smoothed maximum score estimation of discrete duration models
EM estimation for the Poisson-Inverse Gamma regression model with varying dispersion: An application to insurance ratemaking
Maximum-likelihood estimation in a special integer autoregressive model
Model selection and post selection to improve the estimation of the ARCH model