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Smooth Interpolation of Covariance Matrices and Brain Network Estimation

open access: yesIEEE Transactions on Automatic Control, 2019
We propose an approach to use the state covariance of autonomous linear systems to track time-varying covariance matrices of nonstationary time series. Following concepts from the Riemannian geometry, we investigate three types of covariance paths obtained by using different quadratic regularizations of system matrices. The first quadratic form induces
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Estimation of Singular Covariance Matrices of Random Effects

open access: yesJournal of Dairy Science, 1986
Abstract The variance-covariance matrix of random effects in a mixed linear model can be singular because identical twins are used or because a base population has been selected. As a consequence, the usual mixed model equations cannot be used for estimation and prediction.
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Studies in Estimation of Patterned Covariance Matrices

open access: yes, 2009
Many testing, estimation and confidence interval procedures discussed in the multivariate statistical literature are based on the assumption that the observation vectors are independent and normally distributed. The main reason for this is that often sets of multivariate observations are, at least approximately, normally distributed.
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