Estimating partial correlations using the Oja sign covariance matrix

Daniel Vogel, Roland Fried

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Abstract

We investigate the Oja sign covariance matrix (Oja SCM) for estimating partial correlations in multivariate data. The Oja SCM estimates directly a multiple of the precision matrix and is based on the concept of Oja signs, a multivariate generalisation of the univariate sign function, which obey some form of affine equivariance property. Simulations show that the asymptotic distribution gives a good approximation of the exact finite-sample distribution already for samples of moderate size. We find it to outperform the classical sample partial correlation in case of heavy-tailed distributions. The high computational costs are its main disadvantage.
Original languageEnglish
Title of host publicationCompstat 2008: Proceedings in Computational Statistics. Vol. II.
Subtitle of host publicationProceedings in Computational Statistics
EditorsPaula Brito
PublisherPhysica-Verlag HD
Pages721-729
Number of pages9
Volume2
Publication statusPublished - 2008

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Partial Correlation
Covariance matrix
Affine Equivariance
Heavy-tailed Distribution
Multivariate Data
Asymptotic distribution
Univariate
Computational Cost
Approximation
Estimate
Simulation

Cite this

Vogel, D., & Fried, R. (2008). Estimating partial correlations using the Oja sign covariance matrix. In P. Brito (Ed.), Compstat 2008: Proceedings in Computational Statistics. Vol. II. : Proceedings in Computational Statistics (Vol. 2, pp. 721-729). Physica-Verlag HD.

Estimating partial correlations using the Oja sign covariance matrix. / Vogel, Daniel; Fried, Roland .

Compstat 2008: Proceedings in Computational Statistics. Vol. II. : Proceedings in Computational Statistics. ed. / Paula Brito. Vol. 2 Physica-Verlag HD, 2008. p. 721-729.

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Vogel, D & Fried, R 2008, Estimating partial correlations using the Oja sign covariance matrix. in P Brito (ed.), Compstat 2008: Proceedings in Computational Statistics. Vol. II. : Proceedings in Computational Statistics. vol. 2, Physica-Verlag HD, pp. 721-729.
Vogel D, Fried R. Estimating partial correlations using the Oja sign covariance matrix. In Brito P, editor, Compstat 2008: Proceedings in Computational Statistics. Vol. II. : Proceedings in Computational Statistics. Vol. 2. Physica-Verlag HD. 2008. p. 721-729
Vogel, Daniel ; Fried, Roland . / Estimating partial correlations using the Oja sign covariance matrix. Compstat 2008: Proceedings in Computational Statistics. Vol. II. : Proceedings in Computational Statistics. editor / Paula Brito. Vol. 2 Physica-Verlag HD, 2008. pp. 721-729
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