High-dimensional precision matrix estimation through GSOS with application in the foreign exchange market
| dc.contributor.author | Kheyri, Azam | |
| dc.contributor.author | Bekker, Andriette, 1958- | |
| dc.contributor.author | Arashi, Mohammad | |
| dc.contributor.email | andriette.bekker@up.ac.za | en_US |
| dc.date.accessioned | 2023-09-07T11:00:24Z | |
| dc.date.available | 2023-09-07T11:00:24Z | |
| dc.date.issued | 2022-11-12 | |
| dc.description | DATA AVAILABILITY STATEMENT : The data under consideration in this study is in the public domain. | en_US |
| dc.description.abstract | This article studies the estimation of the precision matrix of a high-dimensional Gaussian network. We investigate the graphical selector operator with shrinkage, GSOS for short, to maximize a penalized likelihood function where the elastic net-type penalty is considered as a combination of a norm-one penalty and a targeted Frobenius norm penalty. Numerical illustrations demonstrate that our proposed methodology is a competitive candidate for high-dimensional precision matrix estimation compared to some existing alternatives. We demonstrate the relevance and efficiency of GSOS using a foreign exchange markets dataset and estimate dependency networks for 32 different currencies from 2018 to 2021. | en_US |
| dc.description.department | Statistics | en_US |
| dc.description.librarian | am2023 | en_US |
| dc.description.sponsorship | The National Research Foundation (NRF) of South Africa; the South African DST-NRF-MRC SARChI Research Chair in Biostatistics; STATOMET at the Department of Statistics at the University of Pretoria and a grant from Ferdowsi University of Mashhad. | en_US |
| dc.description.uri | https://www.mdpi.com/journal/mathematics | en_US |
| dc.identifier.citation | Kheyri, A.; Bekker, A.; Arashi, M. High-Dimensional Precision Matrix Estimation through GSOS with Application in the Foreign Exchange Market. Mathematics 2022, 10, 4232. https://DOI.org/10.3390/math10224232. | en_US |
| dc.identifier.issn | 2227-7390 | |
| dc.identifier.other | 10.3390/math10224232 | |
| dc.identifier.uri | http://hdl.handle.net/2263/92241 | |
| dc.language.iso | en | en_US |
| dc.publisher | MDPI | en_US |
| dc.rights | © 2022 by the authors. Licensee MDPI, Basel, Switzerland. This article is an open access article distributed under the terms and conditions of the Creative Commons Attribution (CC BY) license. | en_US |
| dc.subject | Exchange rate | en_US |
| dc.subject | Gaussian graphical model | en_US |
| dc.subject | Graphical elastic net | en_US |
| dc.subject | High-penalized log-likelihood | en_US |
| dc.subject | Precision matrix estimation | en_US |
| dc.subject | Ridge estimation | en_US |
| dc.subject | SDG-08: Decent work and economic growth | en_US |
| dc.title | High-dimensional precision matrix estimation through GSOS with application in the foreign exchange market | en_US |
| dc.type | Article | en_US |