A1 Refereed original research article in a scientific journal
Robust signal dimension estimation via SURE
Authors: Virta, Joni; Lietzén, Niko; Nyberg, Henri
Publication year: 2024
Journal: Statistical Papers
Journal name in source: STATISTICAL PAPERS
Journal acronym: STAT PAP
Volume: 65
First page : 3007
Last page: 3038
ISSN: 0932-5026
eISSN: 1613-9798
DOI: https://doi.org/10.1007/s00362-023-01512-2
Publication's open availability at the time of reporting: Open Access
Publication channel's open availability : Partially Open Access publication channel
Web address : https://link.springer.com/article/10.1007/s00362-023-01512-2
Self-archived copy’s web address: https://research.utu.fi/converis/portal/detail/Publication/182204907
Preprint address: https://arxiv.org/abs/2203.16233
Self-archived copy's licence: CC BY
Self-archived copy's version: Publisher`s PDF
The estimation of signal dimension under heavy-tailed latent variable models is studied. As a primary contribution, robust extensions of an earlier estimator based on Gaussian Stein’s unbiased risk estimation are proposed. These novel extensions are based on the framework of elliptical distributions and robust scatter matrices. Extensive simulation studies are conducted in order to compare the novel methods with several well-known competitors in both estimation accuracy and computational speed. The novel methods are applied to a financial asset return data set.
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