Results 241 to 250 of about 9,759 (265)

Covariance Matrix Estimation Via Network Structure

SSRN Electronic Journal, 2016
In this article, we employ a regression formulation to estimate the high dimensional covariance matrix for a given network structure. Using prior information contained in the network relationships, we model the covariance as a polynomial function of the symmetric adjacency matrix.
Wei Lan, Zheng Fang, Hansheng Wang, Chih-Ling Tsai   +3 more
openaire   +1 more source

Structured covariance matrix estimation: a parametric approach

2000 IEEE International Conference on Acoustics, Speech, and Signal Processing. Proceedings (Cat. No.00CH37100), 2002
The problem of estimating a positive semi-definite Toeplitz covariance matrix consisting of a low rank matrix plus a scaled identity from noisy data arises in many applications. We propose a computationally attractive (noniterative) covariance matrix estimator with certain optimality properties.
Magnus Jansson, Björn E. Ottersten
openaire   +1 more source

On the Estimation of Polychoric Correlations and their Asymptotic Covariance Matrix

Psychometrika, 1994
A general theory for parametric inference in contingency tables is outlined. Estimation of polychoric correlations is seen as a special case of this theory. The asymptotic covariance matrix of the estimated polychoric correlations is derived for the case when the thresholds are estimated from the univariate marginals and the polychoric correlations are
openaire   +2 more sources

A Monte Carlo synthetic sample based performance evaluation method for covariance matrix estimators

Applied Economics Letters, 2021
Jin Yuan, Xianghui Yuan
exaly  

Covariance Matrix Estimation

1999
Matthew J. Cushing, Mary G. McGarvey
openaire   +1 more source

Shrinking the eigenvalues of M-estimators of covariance matrix

IEEE Transactions on Signal Processing, 2020
Esa Ollila, Daniel P Palomar, Frédéric Pascal   +2 more
exaly  

The Bias of a Heteroskedasticity Consistent Covariance Matrix Estimator

Econometrica, 1987
Chesher, Andrew, Jewitt, Ian
openaire   +1 more source

Methods of estimation of a covariance matrix

Computational Statistics & Data Analysis, 1987
Jacqueline S. Galpin, Douglas M. Hawkins
openaire   +1 more source

A Comparative Study of Sea Clutter Covariance Matrix Estimators

IEEE Geoscience and Remote Sensing Letters, 2014
Stian Normann Anfinsen, Camilla Brekke
exaly  

Improved Stein-type shrinkage estimators for the high-dimensional multivariate normal covariance matrix

Computational Statistics and Data Analysis, 2011
Thomas J Fisher, Xiaoqian Sun
exaly