Robust signal dimension estimation via SURE

Joni Virta (), Niko Lietzén () and Henri Nyberg ()
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Joni Virta: University of Turku
Niko Lietzén: University of Turku
Henri Nyberg: University of Turku

Statistical Papers, 2024, vol. 65, issue 5, No 14, 3007-3038

Abstract: Abstract 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.

Keywords: Elliptical distribution; Principal component analysis; Risk estimate; Scatter matrix (search for similar items in EconPapers)
Date: 2024
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DOI: 10.1007/s00362-023-01512-2

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