Suchergebnisse - "Covariance matrix estimation"

Regularized estimation of Kronecker structured covariance matrix using modified Cholesky decomposition

Autoren: Dai, Deliang Hao, Chengcheng Jin, Shaobo et al.

Quelle: Journal of Statistical Computation and Simulation. 95(5):905-930

Schlagwörter: Covariance matrix estimation, Kronecker structure, multivariate longitudinal data, modified Cholesky decomposition, regularization

Dateibeschreibung: electronic

Zugangs-URL: https://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-556953
https://doi.org/10.1080/00949655.2023.2291536

Robust Estimation of the Covariance Matrix From Data With Outliers

Autoren: Stoica, Petre Babu, Prabhu Varshney, Piyush

Quelle: IEEE Open Journal of Signal Processing. 5:1061-1072

Schlagwörter: Covariance matrices, Estimation, Testing, Signal processing algorithms, Minimization, Upper bound, Signal processing, Symbols, Numerical simulation, Numerical models, Robust covariance matrix estimation, outlier detection, minimum covariance determinant, false discovery rate

Dateibeschreibung: electronic

Zugangs-URL: https://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-543282
https://doi.org/10.1109/OJSP.2024.3473610

Optimal Shrinkage-Based Portfolio Selection in High Dimensions

Autoren: Bodnar, Taras Okhrin, Yarema Parolya, Nestor

Quelle: Journal of business & economic statistics. 41(1):140-156

Schlagwörter: Covariance matrix estimation, Expected utility portfolio, Large-dimensional asymptotics, Random matrix theory

Dateibeschreibung: print

Zugangs-URL: https://urn.kb.se/resolve?urn=urn:nbn:se:su:diva-200436
https://doi.org/10.1080/07350015.2021.2004897

l0 Penalized Maximum Likelihood Estimation of Sparse Covariance Matrices

Autoren: Fatima, Ghania Stoica, Peter Babu, Prabhu

Quelle: IEEE Signal Processing Letters. 32:66-70

Schlagwörter: Covariance matrices, Maximum likelihood estimation, Sparse matrices, Minimization, Tuning, Signal processing algorithms, Optimization, Bayes methods, Wireless communication, Taylor series, Covariance matrix estimation, EBIC, l(0) penalized maximum likelihood

Dateibeschreibung: print

Zugangs-URL: https://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-546837

Unstable Slope Identification and Monitoring Using Polarization-Enhanced DS-InSAR: A Case Study in the Bailong River Basin

Autoren: Yahui Qiu Yuanjian Wang Ximin Cui et al.

Quelle: IEEE Journal of Selected Topics in Applied Earth Observations and Remote Sensing, Vol 18, Pp 11142-11154 (2025)

Schlagwörter: Broyden-Fletcher-Goldfarb-Shanno (BFGS) method, regularization, Ocean engineering, QC801-809, distributed scatterer interferometry synthetic aperture radar (DS-InSAR), Geophysics. Cosmic physics, covariance matrix estimation, polarimetric, TC1501-1800

Zugangs-URL: https://doaj.org/article/e8c5e16b9cc7485dbbe3a1b4c4bcff5f

Real-Time Speech Extraction Based on Rank-Constrained Spatial Covariance Matrix Estimation and Spatially Regularized Independent Low-Rank Matrix Analysis With Fast Demixing Matrix Estimation

Autoren: Yuto Ishikawa Tomohiko Nakamura Norihiro Takamune et al.

Quelle: IEEE Access, Vol 13, Pp 88683-88706 (2025)

Schlagwörter: Independent low-rank matrix analysis, real-time speech extraction, Electrical engineering. Electronics. Nuclear engineering, rank-constrained spatial covariance matrix estimation, spatial regularization, TK1-9971

Zugangs-URL: https://doaj.org/article/2e7b52356c2a4d36a6852008f1d0daee

Noise Covariance Matrix Estimation in Block-Correlated Noise Field for Direction Finding

Autoren: Esfandiari Majdoddin Vorobyov Sergiy Department of Information and Communications Engineering et al.

Weitere Verfasser: Esfandiari Majdoddin Vorobyov Sergiy Department of Information and Communications Engineering et al.

Quelle: IEEE Signal Processing Letters. 32:531-535

Schlagwörter: Unknown noise field, Noise covariance matrix estimation, DOA estimation, Block-diagonal noise, Nonuniform noise

Dateibeschreibung: application/pdf

Zugangs-URL: https://aaltodoc.aalto.fi/handle/123456789/133253

Intrinsic Bayesian Cramér-Rao Bound With an Application to Covariance Matrix Estimation

Autoren: Bouchard, Florent Renaux, Alexandre Ginolhac, Guillaume et al.

Weitere Verfasser: Bouchard, Florent Renaux, Alexandre Ginolhac, Guillaume et al.

Quelle: IEEE Transactions on Information Theory. 70:9261-9276

Schlagwörter: FOS: Computer and information sciences, Computer Science - Machine Learning, Mathematics - Statistics Theory, Machine Learning (stat.ML), Statistics Theory (math.ST), [STAT.OT]Statistics [stat]/Other Statistics [stat.ML], Bayesian estimation, covariance matrix estimation, [STAT.OT] Statistics [stat]/Other Statistics [stat.ML], Statistics - Applications, Machine Learning (cs.LG), Statistics - Machine Learning, FOS: Mathematics, Applications (stat.AP), Riemannian geometry, [SPI.SIGNAL]Engineering Sciences [physics]/Signal and Image processing, Cramér-Rao bound, [SPI.SIGNAL] Engineering Sciences [physics]/Signal and Image processing

Dateibeschreibung: application/pdf

Zugangs-URL: http://arxiv.org/abs/2311.04748
https://hal.univ-grenoble-alpes.fr/hal-04770231v1
https://doi.org/10.1109/tit.2024.3480280
https://hal.univ-grenoble-alpes.fr/hal-04770231v1/document

MMSE Channel Estimation in Large-Scale MIMO: Improved Robustness With Reduced Complexity

Autoren: Antonio A. D’Amico Giacomo Bacci Luca Sanguinetti

Quelle: IEEE Transactions on Wireless Communications. 23:18563-18575

Schlagwörter: Signal Processing (eess.SP), FOS: Computer and information sciences, Large-scale MIMO, channel estimation, Kronecker decomposition, circulant matrix, uniform planar arrays, covariance matrix estimation, Computer Science - Information Theory, Information Theory (cs.IT), FOS: Electrical engineering, electronic engineering, information engineering, Electrical Engineering and Systems Science - Signal Processing

Zugangs-URL: http://arxiv.org/abs/2404.03279

Enhancing portfolio optimization in emerging markets: A cross-validation multi-target shrinkage approach

Autoren: Minh Tran Nhat M. Nguyen Tuan A. Tran

Quelle: Results in Control and Optimization, Vol 21, Iss , Pp 100611- (2025)

Schlagwörter: Portfolio management, Cross-validation, Multi-target shrinkage, Covariance matrix estimation, Investment strategies, Applied mathematics. Quantitative methods, T57-57.97

Dateibeschreibung: electronic resource

Relation: http://www.sciencedirect.com/science/article/pii/S2666720725000967; https://doaj.org/toc/2666-7207

Zugangs-URL: https://doaj.org/article/d1287681380d4c858ee99dc48735ee01

Mahalanobis distances on factor model based estimation

Autoren: Dai, Deliang

Quelle: Econometrics. 8(1):1-11

Schlagwörter: Dimension reduction, Covariance matrix estimation, Outlier detection, Multivariate analysis, Statistics/Econometrics, Statistik, Economy, Ekonomi

Dateibeschreibung: electronic

Zugangs-URL: https://urn.kb.se/resolve?urn=urn:nbn:se:lnu:diva-92730
https://doi.org/10.3390/econometrics8010010

Robust Signal and Noise Covariance Matrix Estimation Using Riemannian Optimization

Autoren: Brunnström, Jesper Moonen, Marc Elvander, Filip et al.

Weitere Verfasser: Brunnström, Jesper Moonen, Marc Elvander, Filip et al.

Quelle: 2024 32nd European Signal Processing Conference (EUSIPCO). :291-295

Schlagwörter: noise reduction, robust covariance matrix estimation, Riemannian optimization, Hermitian positive matrices, manifolds

Dateibeschreibung: application/pdf

Zugangs-URL: https://aaltodoc.aalto.fi/handle/123456789/132043

AI Shrinkage: A Data-Driven Approach for Risk-Optimized Portfolios

Autoren: De Nard, Gianluca Kostovic, Damjan University of Zurich

Weitere Verfasser: De Nard, Gianluca Kostovic, Damjan University of Zurich

Schlagwörter: risk optimization, ECON Department of Economics, reinforcement learning, 10007 Department of Economics, ddc:330, C13, portfolio management reinforcement learning, portfolio management, C58, G11, Covariance matrix estimation, linear and nonlinear shrinkage, 330 Economics

Dateibeschreibung: econwp470.pdf - application/pdf

Zugangs-URL: https://hdl.handle.net/10419/322286
https://www.zora.uzh.ch/id/eprint/277803/
https://doi.org/10.5167/uzh-277803

Ledoit-Wolf linear shrinkage with unknown mean

Autoren: Oriol, Benoit Miot, Alexandre CEntre de REcherches en MAthématiques de la DEcision (CEREMADE) et al.

Weitere Verfasser: Oriol, Benoit Miot, Alexandre CEntre de REcherches en MAthématiques de la DEcision (CEREMADE) et al.

Quelle: ISSN: 0047-259X.

Schlagwörter: covariance matrix estimation linear shrinkage Ledoit-Wolf estimator unknown mean general asymptotics, covariance matrix estimation, linear shrinkage, Ledoit-Wolf estimator, unknown mean, general asymptotics, [MATH.MATH-ST]Mathematics [math]/Statistics [math.ST]

Verfügbarkeit: https://hal.science/hal-04071051
https://hal.science/hal-04071051v2/document
https://hal.science/hal-04071051v2/file/2304.07045v2.pdf
https://doi.org/10.1016/j.jmva.2025.105429

Penalized Likelihood Approach to Covariance Matrix Estimation From Data With Cell Outliers

Autoren: Stoica, Peter Babu, Prabhu

Quelle: IEEE Transactions on Signal Processing. 72:5616-5627

Schlagwörter: Covariance matrices, Vectors, Estimation, Testing, Signal processing algorithms, Maximum likelihood estimation, Maximum likelihood detection, Symmetric matrices, Standards, Reviews, Robust covariance matrix estimation, cell outlier detection, penalized maximum likelihood, false discovery rate

Dateibeschreibung: print

Zugangs-URL: https://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-545754

Tightly-Coupled LiDAR-IMU-Wheel Odometry With Online Calibration of a Kinematic Model for Skid-Steering Robots

Autoren: Taku Okawara Kenji Koide Shuji Oishi et al.

Quelle: IEEE Access, Vol 12, Pp 134728-134738 (2024)

Schlagwörter: sensor fusion, FOS: Computer and information sciences, Computer Science - Robotics, Artificial Intelligence (cs.AI), point cloud degeneration, Odometry, Computer Science - Artificial Intelligence, online uncertainty (covariance matrix) estimation, Electrical engineering. Electronics. Nuclear engineering, factor graph optimization, online calibration, Robotics (cs.RO), TK1-9971

Zugangs-URL: http://arxiv.org/abs/2404.02515
https://doaj.org/article/98710a2bfda44ea78327235e6ef6b043

Multi-Cluster Frequency-Angle Diffuse Scattering Model and Its Estimation

Autoren: Zihang Cheng Andreas F. Molisch

Quelle: IEEE Open Journal of the Communications Society, Vol 5, Pp 7176-7196 (2024)

Schlagwörter: high-resolution parameter extraction algorithm, Telecommunication, Channel estimation, TK5101-6720, covariance matrix estimation, Transportation and communications, diffuse scattering, HE1-9990

Zugangs-URL: https://doaj.org/article/92005b7027f74790a34bae6f88b4fb93

Partial correlation graphical LASSO

Autoren: Jack Storror Carter David Rossell Jim Q. Smith

Quelle: Scandinavian Journal of Statistics. 51:32-63

Schlagwörter: FOS: Computer and information sciences, Partial correlation, 05 social sciences, Covariance matrix estimation, 02 engineering and technology, Precision matrix, 01 natural sciences, Methodology (stat.ME), Gaussian graphical model, covariance matrix estimation, graphical LASSO, partial correlation, penalized likelihood, precision matrix, 0502 economics and business, Gaphical LASSO, 0202 electrical engineering, electronic engineering, information engineering, Penalized likelihood, 0101 mathematics, Statistics - Methodology

Dateibeschreibung: application/pdf

Zugangs-URL: http://arxiv.org/abs/2104.10099

Cross-Validated Loss-Based Covariance Matrix Estimator Selection in High Dimensions.

Autoren: Boileau, Philippe Hejazi, Nima van der Laan, Mark et al.

Quelle: Journal of Computational and Graphical Statistics. 32(2)

Schlagwörter: covariance matrix estimation, cross-validation, dimension reduction, high-dimensional statistics, loss-based estimation

Dateibeschreibung: application/pdf

Zugangs-URL: https://escholarship.org/uc/item/4h74w5dv
https://escholarship.org/content/qt4h74w5dv/qt4h74w5dv.pdf

Markowitz portfolios under transaction costs

Autoren: Ledoit, Olivier Wolf, Michael

Quelle: Ledoit, Olivier; Wolf, Michael (2025). Markowitz portfolios under transaction costs. The Quarterly review of economics and finance, 100:101962.

Schlagwörter: Department of Economics, 330 Economics, Covariance matrix estimation, mean-variance efficiency, multivariate GARCH, portfolio selection, transaction costs

Dateibeschreibung: application/pdf

Relation: https://www.zora.uzh.ch/id/eprint/276087/1/1_s2.0_S1062976925000031_main.pdf; urn:issn:1062-9769

Verfügbarkeit: https://www.zora.uzh.ch/id/eprint/276087/
https://www.zora.uzh.ch/id/eprint/276087/1/1_s2.0_S1062976925000031_main.pdf
https://doi.org/10.1016/j.qref.2025.101962