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Improved Large Dynamic Covariance Matrix Estimation With Graphical Lasso and Its Application in Portfolio Selection

open access: yesIEEE Access, 2020
The estimation of the large and high-dimensional covariance matrix and precision matrix is a fundamental problem in modern multivariate analysis. It has been widely applied in economics, finance, biology, social networks and health sciences. However, the
Xin Yuan   +3 more
doaj   +1 more source

Variable Selection and Inference for Multi-Period Forecasting Problems [PDF]

open access: yes, 2009
This paper conducts a broad-based comparison of iterated and direct multi-step forecasting approaches applied to both univariate and multivariate models.
Pesaran, Mohammad Hashem   +2 more
core   +2 more sources

Simulated Maximum Likelihood for Double-Bounded Referendum Models

open access: yesJournal of Agricultural and Resource Economics, 2001
Although joint estimation of referendum-type contingent value (CV) survey responses using maximum-likelihood models is preferred to single-equation estimation, it has been largely disregarded because estimation involves evaluating multivariate normal ...
Mary C. Riddel
doaj   +1 more source

MODIFIED METHOD OF CONSTRUCTING A MULTIVARIATE LINEAR REGRESSION GIVEN BY A REDUNDANT DESCRIPTION

open access: yesВісник Національного технічного університету "ХПÌ": Системний аналіз, управління та інформаційні технології, 2022
A number of scientific works of Prof. O. A. Pavlov and his disciples is devoted to the development of an original method of efficient estimation of coefficients at nonlinear terms of multivariate polynomial regression given by a redundant description ...
Alexander Pavlov, Maxim Holovchenko
doaj   +1 more source

Model and distribution uncertainty in multivariate GARCH estimation: A Monte Carlo analysis [PDF]

open access: yesComputational Statistics & Data Analysis, 2010
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
ROSSI, EDUARDO, Spazzini Filippo
openaire   +5 more sources

Inference for High-dimensional Differential Correlation Matrices [PDF]

open access: yes, 2015
Motivated by differential co-expression analysis in genomics, we consider in this paper estimation and testing of high-dimensional differential correlation matrices.
Cai, T. Tony, Zhang, Anru
core   +3 more sources

Analysis of methods for multivariable frequency response function estimation in closed loop [PDF]

open access: yes2007 46th IEEE Conference on Decision and Control, 2007
Estimation methods for the multivariable frequency response function are analyzed, both in open and closed loop. Expressions for the bias and covariance are derived and the usefulness of these expressions is illustrated in simulations of an industrial robot where the different estimators are compared.
Wernholt, Erik, Gunnarsson, Svante
openaire   +2 more sources

Some recent developments on functional data analysis* [PDF]

open access: yesESAIM: Proceedings and Surveys
Recent contributions to functional data analysis are presented. Various problems are considered including the definition of the barycenter of multivariate functional data and the adaptive nonparametric estimation in the functional linear model with ...
Cugliari Jairo   +3 more
doaj   +1 more source

Eco-Friendly Estimation of Heavy Metal Contents in Grapevine Foliage Using In-Field Hyperspectral Data and Multivariate Analysis

open access: yesRemote Sensing, 2019
Heavy metal monitoring in food-producing ecosystems can play an important role in human health safety. Since they are able to interfere with plants’ physiochemical characteristics, which influence the optical properties of leaves, they can be ...
Mohsen Mirzaei   +4 more
doaj   +1 more source

Estimating leaf nitrogen concentration based on the combination with fluorescence spectrum and first-derivative [PDF]

open access: yesRoyal Society Open Science, 2020
Leaf nitrogen concentration (LNC) is a major indicator in the estimation of the crop growth status which has been diffusely applied in remote sensing. Thus, it is important to accurately obtain LNC by using passive or active technology.
Jian Yang   +4 more
doaj   +1 more source

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