arXiv subjects

Simon Hediger

Publications and source records attributed to Simon Hediger.

2 recordsLinked to original sources

arXiv2022

R-NL: Covariance Matrix Estimation for Elliptical Distributions based on Nonlinear Shrinkage

We combine Tyler's robust estimator of the dispersion matrix with nonlinear shrinkage. This approach delivers a simple and fast estimator of the dispersion matrix in elliptical models that is robust against both heavy tails and high dimensions. We prove convergence of the iterative part of our algorithm and demonstrate the favorable performance of the estimator in a wide range of simulation scenarios. Finally, an empirical application demonstrates its state-of-the-art performance on real data.

stat.ME↗

arXiv2019

On the Use of Random Forest for Two-Sample Testing

Following the line of classification-based two-sample testing, tests based on the Random Forest classifier are proposed. The developed tests are easy to use, require almost no tuning, and are applicable for any distribution on $\mathbb{R}^d$. Furthermore, the built-in variable importance measure of the Random Forest gives potential insights into which variables make out the difference in distribution. An asymptotic power analysis for the proposed tests is developed. Finally, two real-world applications illustrate the usefulness of the introduced methodology. To simplify the use of the method, the R-package "hypoRF" is provided.

stat.ME↗