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Found 3 essays matching the above criteria.

1. 1. Estimating Dependence Structures with Gaussian Graphical Models : A Simulation Study in R

   University essay from Umeå universitet/Statistik

   Author : Artem Angelchev Shiryaev; Johan Karlsson; [2021]
   Keywords : Simulation study; Graphical models; undirected Gaussian graphical model; Partial correlation; Precision matrix;

   Abstract : Graphical models are powerful tools when estimating complex dependence structures among large sets of data. This thesis restricts the scope to undirected Gaussian graphical models. An initial predefined sparse precision matrix was specified to generate multivariate normally distributed data. READ MORE

3. 2. Multivariate Risk: From Univariate to High-Dimensional Graphical Models

   University essay from Lunds universitet/Statistiska institutionen

   Author : Erik Oldehed; [2020]
   Keywords : Block Maxima; Mean Excess Plot; Tail Risk; Cross-Validation Threshold Selection; Graphical Lasso; Nonparanormal Distribution.; Mathematics and Statistics;

   Abstract : We present a comparison of different univariate and multivariate extreme value risk models. Our focus is on exploring how these can be used to model financial risk. We use simulated as well as real data and compare deterministic and cross-validation threshold selection methods for the GP model to a GEV model. READ MORE

4. 3. Graphical lasso for covariance structure learning in the high dimensional setting

   University essay from KTH/Matematisk statistik

   Author : Viktor Fransson; [2015]
   Keywords : ;

   Abstract : This thesis considers the estimation of undirected Gaussian graphical models especially in the high dimensional setting where the true observations are assumed to be non-Gaussian distributed. The first aim is to present and compare the performances of existing Gaussian graphical model estimation methods. READ MORE