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Outlyingness Weighted Covariation
Journal of Financial Econometrics, 2008Quadratic covariation is a popular descriptive measure for the volatility of a multivariate price process. It is consistently estimated by the sum of outer products of high-frequency returns. The proposed Realized Outlyingness Weighted Covariation (ROWCov) is a \emph{weighted} sum of outer products of high-frequency returns and downweights returns ...
Kris Boudt +2 more
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Biometrics, 1948
THE WHOLE OF this discussion is based on the data of a single experiment, the details of which have been published under the title "The Effect of Atropine and Quinidine Sulphate on Atrophy and Fibrillation in Deniervated Skeletal Muscle." [1] For the present, we may adopt the view that the experiment was conducted to compare the effects of four ...
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THE WHOLE OF this discussion is based on the data of a single experiment, the details of which have been published under the title "The Effect of Atropine and Quinidine Sulphate on Atrophy and Fibrillation in Deniervated Skeletal Muscle." [1] For the present, we may adopt the view that the experiment was conducted to compare the effects of four ...
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Mixtures of inverse covariances
2003 IEEE International Conference on Acoustics, Speech, and Signal Processing, 2003. Proceedings. (ICASSP '03)., 2003We describe a model which approximates full covariances in a Gaussian mixture while reducing significantly both the number of parameters to estimate and the computations required to evaluate the Gaussian likelihoods. In this model, the inverse covariance of each Gaussian in the mixture is expressed as a linear combination of a small set of prototype ...
Vincent Vanhoucke, Ananth Sankar
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Adding additional covariates and the Analysis of Covariance
2010Suppose that having fitted the regression model $$\vec{y} = X\beta + \epsilon, $$ (M0) we wish to introduce qadditional explanatory variables into our model. The augmented regression model, M A , say becomes $$\vec{y} = X\beta + Z\gamma + \epsilon.
N. H. Bingham, John M. Fry
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Kybernetika, 1988
Covariances R(s,t) are called normal if they can be written in the form \[ R(s,t)=\int^{\infty}_{-\infty}\int^{\infty}_{- \infty}e^{\lambda (s+t)}e^{i\mu (s-t)}dF(\lambda,\mu),\quad (s,t)\in R^ 2. \] Some properties and characteristics of normal covariances are proved (in addition to previous results of the author): 1) they are continuous on \(R^ 2 ...
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Covariances R(s,t) are called normal if they can be written in the form \[ R(s,t)=\int^{\infty}_{-\infty}\int^{\infty}_{- \infty}e^{\lambda (s+t)}e^{i\mu (s-t)}dF(\lambda,\mu),\quad (s,t)\in R^ 2. \] Some properties and characteristics of normal covariances are proved (in addition to previous results of the author): 1) they are continuous on \(R^ 2 ...
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2012 50th Annual Allerton Conference on Communication, Control, and Computing (Allerton), 2012
Gautam Dasarathy +3 more
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Gautam Dasarathy +3 more
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