Montag, 05. November 2018, 16:45 - 17:45 iCal

ISOR Colloquium

"On The Modeling of Covariance Matrices: A Generalized Fisher Transformation" (joint work with Peter Reinhard Hansen (Univ. North Carolina, Chapel Hill)) "

Speaker: Ilya Archakov (ISOR of Univ. Vienna)

HS 7 (#1.303), 1st floor
Oskar-Morgenstern-Platz 1, 1090 Wien

Vortrag

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For the modeling of covariance matrices, the literature has proposed a variety of methods to enforce the positive (semi) definiteness. In this paper, we propose a novel approach with attractive properties and a wide range of applications. The methods is based on the matrix logarithmic transformation of the correlation matrix, and we present evidence that the resulting off-diagonal elements constitute the generalization of Fisher's Z-transformation of a single correlation.

Zur Webseite der Veranstaltung

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Veranstalter

Institut für Statistik und Operations Research

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Kontakt

Mag. Vera Lehmwald
Fakultät für Wirtschaftswissenschaften
Institut für Statistik und Operations Research
+43 1 4277 38651
vera.lehmwald@univie.ac.at

Erstellt am Freitag, 28. September 2018, 14:55
Letzte Änderung am Mittwoch, 03. Oktober 2018, 11:23