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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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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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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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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M-Matrices as covariance matrices of multinormal distributions
Linear Algebra and its Applications, 1983 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Karlin, Samuel, Rinott, Yosef
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Nonparametric estimation of covariance functions by model selection [PDF]
, 2009 We propose a model selection approach for covariance estimation of a stochastic process. Under very general assumptions, observing i.i.d replications of the process at fixed observation points, we construct an estimator of the covariance function by ...
Muniz Alvarez, Lilian +9 more
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Homogeneity Test of Multi-Sample Covariance Matrices in High Dimensions
Mathematics, 2022 In this paper, a new test statistic based on the weighted Frobenius norm of covariance matrices is proposed to test the homogeneity of multi-group population covariance matrices.
Peng Sun, Yincai Tang, Mingxiang Cao
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Robust covariance estimation for data fusion from multiple sensors [PDF]
, 2011 This paper addresses the robust estimation of a covariance matrix to express uncertainty when fusing information from multiple sensors. This is a problem of interest in multiple domains and applications, namely, in robotics.
Lazarus, Samuel B. +5 more
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Construction of non-diagonal background error covariance matrices for global chemical data assimilation [PDF]
Geoscientific Model Development, 2011 Chemical data assimilation attempts to optimally use noisy observations along with imperfect model predictions to produce a better estimate of the chemical state of the atmosphere.
K. Singh +5 more
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On confidence intervals for precision matrices and the eigendecomposition of covariance matrices
CoRR, 2022 The eigendecomposition of a matrix is the central procedure in probabilistic models based on matrix factorization, for instance principal component analysis and topic models. Quantifying the uncertainty of such a decomposition based on a finite sample estimate is essential to reasoning under uncertainty when employing such models.
Teodora Popordanoska +3 more
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