Improved Covariance Matrix Estimation for Portfolio Risk Measurement: A Review
Journal of Risk and Financial Management, 2019 The literature on portfolio selection and risk measurement has considerably advanced in recent years. The aim of the present paper is to trace the development of the literature and identify areas that require further research.
Ruili Sun +3 more
semanticscholar +1 more source
Best linear unbiased estimation for varying probability with and without replacement sampling
Special Matrices, 2019 When sample survey data with complex design (stratification, clustering, unequal selection or inclusion probabilities, and weighting) are used for linear models, estimation of model parameters and their covariance matrices becomes complicated.
Haslett Stephen
doaj +1 more source
Multiple-Toeplitz Matrices Reconstruction Algorithm for DOA Estimation of Coherent Signals
IEEE Access, 2019 In this paper, a new direction-of-arrival (DOA) estimation method based on multiple Toeplitz matrices reconstruction is proposed for coherent narrowband signals with a uniform linear array (ULA).
Wei Zhang +3 more
doaj +1 more source
Covariance Matrix Estimation From Linearly-Correlated Gaussian Samples [PDF]
IEEE Transactions on Signal Processing, 2019 8 pages, 3 figure,a typo in Figure 3 is ...
Wei Cui, Xu Zhang, Yulong Liu
openaire +2 more sources
An Ensemble Kalman Filter Implementation Based on Modified Cholesky Decomposition for Inverse Covariance Matrix Estimation [PDF]
SIAM Journal on Scientific Computing, 2016 This paper develops an efficient implementation of the ensemble Kalman filter based on a modified Cholesky decomposition for inverse covariance matrix estimation. This implementation is named EnKF-MC.
E. Niño, Adrian Sandu, Xinwei Deng
semanticscholar +1 more source
Galaxy two-point covariance matrix estimation for next generation surveys [PDF]
, 2017 We perform a detailed analysis of the covariance matrix of the spherically averaged galaxy power spectrum and present a new, practical method for estimating this within an arbitrary survey without the need for running mock galaxy simulations that cover ...
C. Howlett, W. Percival
semanticscholar +1 more source
FDA-MIMO Radar Robust Beamforming Based on Matrix Weighting Method
IEEE Access, 2022 This paper deals with the problem of robust beamforming and target power estimation in the presence of main-lobe interference with frequency division array multiple-input multiple-output (FDA-MIMO) radar by adopting a weighting matrix at the receiving ...
Changlin Zhou +5 more
doaj +1 more source
Direction-of-Arrival Estimation in Coprime Array Using the ESPRIT-Based Method
Sensors, 2019 Coprime arrays have shown potential advantages for direction-of-arrival (DOA) estimation by increasing the number of degrees-of-freedom in the difference coarray domain with fewer physical sensors.
Zhen Meng, Weidong Zhou
doaj +1 more source
Portfolio Optimization Using a Consistent Vector-Based MSE Estimation Approach
IEEE Access, 2022 This paper is concerned with optimizing the weights of the global minimum-variance portfolio (GMVP) in high-dimensional settings where both observation and population dimensions grow at a bounded ratio. Optimizing the GMVP weights is highly influenced by
Maaz Mahadi +3 more
doaj +1 more source
Statistical Inferences Using Large Estimated Covariances for Panel Data and Factor Models [PDF]
, 2013 While most of the convergence results in the literature on high dimensional covariance matrix are concerned about the accuracy of estimating the covariance matrix (and precision matrix), relatively less is known about the effect of estimating large ...
Bai, Jushan, Liao, Yuan
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