Results 11 to 20 of about 556,837 (257)
Local Laws for Sparse Sample Covariance Matrices
Mathematics, 2022 We proved the local Marchenko–Pastur law for sparse sample covariance matrices that corresponded to rectangular observation matrices of order n×m with n/m→y (where y>0) and sparse probability npn>logβn (where β>0).
Alexander N. Tikhomirov +1 more
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Large Dynamic Covariance Matrices [PDF]
Journal of Business & Economic Statistics, 2017 Second moments of asset returns are important for risk management and portfolio selection. The problem of estimating second moments can be approached from two angles: time series and the cross-section. In time series, the key is to account for conditional heteroskedasticity; a favored model is Dynamic Conditional Correlation (DCC), derived from the ...
Engle, Robert F +2 more
openaire +4 more sources
Flexible Bayesian Dynamic Modeling of Correlation and Covariance Matrices [PDF]
, 2020 Modeling correlation (and covariance) matrices can be challenging due to the positive-definiteness constraint and potential high-dimensionality. Our approach is to decompose the covariance matrix into the correlation and variance matrices and propose a ...
Shahbaba, Babak +7 more
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A Novel Adaptive Kalman Filter With Colored Measurement Noise
IEEE Access, 2018 In this paper, a novel variational Bayesian-based adaptive Kalman filter (VBAKF) is proposed to solve the problem of a linear state-space model with colored measurement noise and inaccurate noise covariance matrices.
Yonggang Zhang +3 more
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Estimation Method of Covariance Matrix in Atmospheric Inversion of CO2 Emissions [PDF]
E3S Web of ConferencesAtmospheric inversion of CO2 Emissions is based on the correction of prior carbon dioxide flux inventories using concentration monitoring data and atmospheric transport models to obtain posterior carbon dioxide flux.
Han Yubin +4 more
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Bayesian Variance-Covariance Matrices and Selection Index [PDF]
The Egyptian Statistical Journal, 1988 Bayesian estimates of variance-covariance matrix have been obtained. Two loss functions were used to estimate five Bayesian matrices of variance-covariance matrix S.
A. Al Sobayel, A. Ali
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Covariance matrix estimation with heterogeneous samples [PDF]
, 2008 We consider the problem of estimating the covariance matrix Mp of an observation vector, using heterogeneous training samples, i.e., samples whose covariance matrices are not exactly Mp.
Bidon, Stéphanie +2 more
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Model reduction based on regional pole and covariance equivalentrealizations [PDF]
, 1999 Copyright [1999] IEEE. This material is posted here with permission of the IEEE. Such permission of the IEEE does not in any way imply IEEE endorsement of any of Brunel University's products or services.
Wang, Z, Unbehauen, H
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A Novel Anti-Jamming Technique for INS/GNSS Integration Based on Black Box Variational Inference
Applied Sciences, 2021 In this paper, a novel anti-jamming technique based on black box variational inference for INS/GNSS integration with time-varying measurement noise covariance matrices is presented. We proved that the time-varying measurement noise is more similar to the
Ping Dong, Jianhua Cheng, Liqiang Liu
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Distributed Fusion Filter for Nonlinear Multi-Sensor Systems With Correlated Noises
IEEE Access, 2020 This paper is concerned with distributed fusion (DF) estimation problem for nonlinear multi-sensor systems with correlated noises. Based on a recursive linear minimum variance estimation (RLMVE) framework, a novel filter is developed.
Gang Hao, Shuli Sun
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