Inferences From Parametric and Non-Parametric Covariance Matrix Estimation Procedures

Andrew Levin;  ; Wouter J. Den Haan

doi:10.17016/ifdp.1995.504

Inferences From Parametric and Non-Parametric Covariance Matrix Estimation Procedures

International Finance Discussion Paper ◽

10.17016/ifdp.1995.504 ◽

1995 ◽

Vol 1995 (504) ◽

pp. 1-45

Author(s):

Andrew Levin ◽

◽

Wouter J. Den Haan

Keyword(s):

Covariance Matrix ◽

Covariance Matrix Estimation ◽

Matrix Estimation ◽

Estimation Procedures ◽

Non Parametric

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Inferences from Parametric and Non-Parametric Covariance Matrix Estimation Procedures

10.3386/t0195 ◽

1996 ◽

Cited By ~ 19

Author(s):

Wouter J. Den Haan ◽

Andrew Levin

Keyword(s):

Covariance Matrix ◽

Covariance Matrix Estimation ◽

Matrix Estimation ◽

Estimation Procedures ◽

Non Parametric

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Bayesian non-parametric methods for dynamic state-noise covariance matrix estimation: Application to target tracking

Signal Processing ◽

10.1016/j.sigpro.2016.02.013 ◽

2016 ◽

Vol 127 ◽

pp. 135-150 ◽

Cited By ~ 5

Author(s):

Clément Magnant ◽

Audrey Giremus ◽

Eric Grivel ◽

Laurent Ratton ◽

Bernard Joseph

Keyword(s):

Target Tracking ◽

Covariance Matrix ◽

Dynamic State ◽

Covariance Matrix Estimation ◽

Parametric Methods ◽

Noise Covariance Matrix ◽

Matrix Estimation ◽

Noise Covariance ◽

Non Parametric

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Faculty Opinions recommendation of A shrinkage approach to large-scale covariance matrix estimation and implications for functional genomics.

Faculty Opinions – Post-Publication Peer Review of the Biomedical Literature ◽

10.3410/f.718350670.793493808 ◽

2014 ◽

Author(s):

Zdeněk Valenta

Keyword(s):

Functional Genomics ◽

Covariance Matrix ◽

Large Scale ◽

Covariance Matrix Estimation ◽

Matrix Estimation ◽

Scale Covariance

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High-Frequency Covariance Matrix Estimation Using Price Durations

SSRN Electronic Journal ◽

10.2139/ssrn.3162514 ◽

2018 ◽

Author(s):

Xiaolu Zhao ◽

Ingmar Nolte ◽

Stephen J. Taylor

Keyword(s):

Covariance Matrix ◽

High Frequency ◽

Covariance Matrix Estimation ◽

Matrix Estimation

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Bayesian Covariance Matrix Estimation Using a Mixture of Decomposable Graphical Models

SSRN Electronic Journal ◽

10.2139/ssrn.966635 ◽

2005 ◽

Author(s):

Helen Jean Armstrong ◽

Christopher K. Carter ◽

Kevin Wong ◽

Robert Kohn

Keyword(s):

Covariance Matrix ◽

Graphical Models ◽

Covariance Matrix Estimation ◽

Matrix Estimation ◽

Decomposable Graphical Models

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Weighted Spatial Covariance Matrix Estimation for MUSIC Based TDOA Estimation of Speech Source

10.21437/interspeech.2017-199 ◽

2017 ◽

Cited By ~ 3

Author(s):

Chenglin Xu ◽

Xiong Xiao ◽

Sining Sun ◽

Wei Rao ◽

Eng Siong Chng ◽

...

Keyword(s):

Covariance Matrix ◽

Covariance Matrix Estimation ◽

Spatial Covariance ◽

Matrix Estimation

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Optimal Shrinkage Covariance Matrix Estimation Under Random Sampling From Elliptical Distributions

IEEE Transactions on Signal Processing ◽

10.1109/tsp.2019.2908144 ◽

2019 ◽

Vol 67 (10) ◽

pp. 2707-2719 ◽

Cited By ~ 6

Author(s):

Esa Ollila ◽

Elias Raninen

Keyword(s):

Covariance Matrix ◽

Random Sampling ◽

Covariance Matrix Estimation ◽

Elliptical Distributions ◽

Matrix Estimation

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Band-Inverse TVAR Covariance Matrix Estimation for Adaptive Detection

IEEE Transactions on Aerospace and Electronic Systems ◽

10.1109/taes.2010.5417169 ◽

2010 ◽

Vol 46 (1) ◽

pp. 375-396 ◽

Cited By ~ 11

Author(s):

Yuri I. Abramovich ◽

Nicholas K. Spencer ◽

Ben A. Johnson

Keyword(s):

Covariance Matrix ◽

Covariance Matrix Estimation ◽

Adaptive Detection ◽

Matrix Estimation

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Robust Covariance Matrix Estimation and Identification of Unusual Data Points: New Tools

Research in Economics ◽

10.1016/j.rie.2021.03.001 ◽

2021 ◽

Author(s):

Christian Garciga ◽

Randal Verbrugge

Keyword(s):

Covariance Matrix ◽

Covariance Matrix Estimation ◽

Matrix Estimation ◽

Data Points

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Sparse and Low-Rank Covariance Matrix Estimation

Journal of the Operations Research Society of China ◽

10.1007/s40305-014-0058-7 ◽

2014 ◽

Vol 3 (2) ◽

pp. 231-250 ◽

Cited By ~ 2

Author(s):

Sheng-Long Zhou ◽

Nai-Hua Xiu ◽

Zi-Yan Luo ◽

Ling-Chen Kong

Keyword(s):

Covariance Matrix ◽

Low Rank ◽

Covariance Matrix Estimation ◽

Matrix Estimation

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