Results 191 to 200 of about 1,928,307 (242)

Minimum Variance Approximate Formulas

SIAM Journal on Numerical Analysis, 1976
We discuss the construction of minimum variance approximate formulas for a given linear functional. We first describe an elementary method for obtaining the minimum variance weights; for the purpose, we set up two systems having the advantage that the order of the matrix to be inverted will not exceed half the number of abscissas in the formula.
Chawla, M. M., Ramakrishnan, T. R.
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Minimum Variance Portfolio Composition

SSRN Electronic Journal, 2010
Empirical studies document that equity portfolios constructed to have the lowest possible risk have surprisingly high average returns. Clarke, de Silva, andThorley derive an analytic solution for the long-only minimum-variance portfolio under the assumption of a single-factor covariance matrix. The equation for optimal security weights has a simple and
Roger Clarke, Harindra de Silva, Steven Thorley   +2 more
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Fast minimum variance resampling

1995 International Conference on Acoustics, Speech, and Signal Processing, 2002
A novel method is introduced for resampling irregularly sampled data in the presence of noise. The estimator is minimum variance (MV) and minimum mean square error, under Gaussian assumptions, and well-conditioned in general. The Shannon-Whittaker sampling theorem is generalized to use raised cosine pulses as basis functions.
Todd Findley Brennan, Paul H. Milenkovic
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Robust minimum variance filtering

IEEE Transactions on Signal Processing, 1995
This paper deals with the robust minimum variance filtering problem for linear systems subject to norm-bounded parameter uncertainty in both the state and the output matrices of the state-space model. The problem addressed is the design of linear filters having an error variance with a guaranteed upper bound for any allowed uncertainty. Two methods for
Uri Shaked, Carlos E. de Souza
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Minimum Variance Huffman Codes

SIAM Journal on Computing, 1982
Huffman’s well-known coding method constructs a minimum redundancy code which minimizes the expected value of the word length. In this paper, we characterize the minimum redundancy code with the minimum variance of the word length. An algorithm is given to construct such a code. It is shown that the code is in a certain sense unique.
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Fast minimum variance deconvolution

IEEE Transactions on Acoustics, Speech, and Signal Processing, 1985
We propose a statistical estimation approach to the deconvolution problem which is optimal in the minimum variance sense when the a priori knowledge on the signal to be restored is strictly limited to its first two moments. By viewing the estimation problem as a degenerate case of a Kalman filter applied to a static system with time-varying ...
Guy Demoment, Roger Reynaud
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Minimum variance centroid thresholding

Optics Letters, 2002
Image-processing thresholding algorithms are extended segmentation tools that are suitable for tracking applications. The centroid of the tracked image distribution is a good point of reference for the location of the image. We describe a new thresholding technique that is based on the estimation of the optimum threshold for achieving minimal variance ...
J, Arines, J, Ares
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Extensions of the minimum variance method

Signal Processing, 1996
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Bernard Picinbono, Pascal Chevalier 0001
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Minimum Variance Immunization

SSRN Electronic Journal, 2020
This paper analyzes immunization strategies in the mean-variance framework. We characterize the efficient portfolio allocations and identify the minimum variance immunization strategy. We show that the efficient allocations can be superior or inferior to the minimum variance allocation as time passes.
Pascal Francois, Franck Moraux
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Minimum variance capacity identification

European Journal of Operational Research, 2007
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