Results 221 to 230 of about 140,209 (263)
Some of the next articles are maybe not open access.
Rank covariance matrix estimation of a partially known covariance matrix
Journal of Statistical Planning and Inference, 2008zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Kuljus, Kristi, von Rosen, Dietrich
openaire +1 more source
Estimation of the Covariance Matrix
2020This chapter addresses decision-theoretic estimation of an error covariance matrix in a multivariate linear model relative to a Stein-type entropy loss. With a unified treatment for high and low dimensions, some important improving methods of the best scale and the best triangular invariant estimators are discussed by using the residual sum of squares ...
Hisayuki Tsukuma, Tatsuya Kubokawa
openaire +1 more source
A GENERALIZED FUZZY COVARIANCE MATRIX
International Journal of Uncertainty, Fuzziness and Knowledge-Based Systems, 1995This paper describes a generalized fuzzy covariance matrix based on the notion of fuzzy similitude and its application to discriminant analysis. It is shown that this generalized fuzzy covariance matrix may be useful in the determination of outliers. It is further noted that the generalized fuzzy covariance matrix may help to distinguish outliers from
openaire +1 more source
Shrinking the Covariance Matrix
The Journal of Portfolio Management, 2007The subject here is construction of the covariance matrix for portfolio optimization. In terms of the ex post standard deviation of the global minimum-variance portfolio, there is no statistically significant gain in using more sophisticated shrinkage estimators rather than simpler portfolios of estimators.
David J. Disatnik, Simon Benninga
openaire +1 more source
Fisher information matrix of the coherently averaged covariance matrix
IEEE Transactions on Signal Processing, 1991Novel expressions are derived for the asymptotic Fisher information matrix which is used to investigate the degree of statistical sufficiency of the approximately coherently averaged covariance matrix in the coherent signal-subspace method. These results correct previous ones given by the authors (see Proc. ICASSP-87, Dallas, TX, Apr. 1987).
Hsien-sen Hung, Mostafa Kaveh
openaire +1 more source
2003
Abstract This chapter develops further the idea of LU decomposition and applies it to the simulation of covariance matrices. The vast majority of cash flow models used to analyze the creditworthiness of structured securities or to investigate foreign exchange risk will include an implementation.
Sylvain Raynes, Ann Rutledge
openaire +1 more source
Abstract This chapter develops further the idea of LU decomposition and applies it to the simulation of covariance matrices. The vast majority of cash flow models used to analyze the creditworthiness of structured securities or to investigate foreign exchange risk will include an implementation.
Sylvain Raynes, Ann Rutledge
openaire +1 more source
2016
Covariance matrix estimation allows the adaptation of Gaussian-based mutation operators to local solution space characteristics.
openaire +1 more source
Covariance matrix estimation allows the adaptation of Gaussian-based mutation operators to local solution space characteristics.
openaire +1 more source
Covariance Matrix Estimation Under Low-Rank Factor Model With Nonnegative Correlations
IEEE Transactions on Signal Processing, 2022Rui Zhou, Jiaxi Ying, Daniel P Palomar
exaly
Covariance matrix estimation and classification with limited training data
IEEE Transactions on Pattern Analysis and Machine Intelligence, 1996D A Landgrebe
exaly