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covariance matrix estimation 8.9 out of 10 based on 33 ratings.
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Point Process Estimation of Large-Scale Dependencies

PDF Ebook 1.00 MB | PDF Book Pages: -
Point Process Estimation of Large-Scale. Dependencies. Matthew Harding ... Point Process Parametrization. Specify a Cox process. X. c. defined on. R. d ...
http://www.economics.harvard.edu/files/faculty/32_Matthew.pdf

A Well-Conditioned Estimator For Large-Dimensional Covariance

PDF Ebook 0.65 MB | PDF Book Pages: -
Many applied problems require a covariance matrix estimator that is not only invertible, ... Many applied problems require an estimate of the covariance matrix and/or of its inverse but ...
http://www.math.umn.edu/~bemis/MFM/workshop/2010/covariance_estimator.pdf

MARKET RISKS

PDF Ebook 1.14 MB | PDF Book Pages: -
Market risks have been the subject of extensive research. for many years and the industry has gained much ... on Monte Carlo methods for. computing the market Value-at-Risk (VaR) ...
http://www.riskmania.com/pdsdata/Mastering%20Risk%20Volume%20II-Application.pdf

1 Introduction

PDF Ebook 1.09 MB | PDF Book Pages: -
Interest in cointegration analysis has led to the development of a number of testing ... to determine the presence and rank of cointegration in nonstationary multivariate systems. ...
http://www.niesr.ac.uk/pubs/dps/dp151.pdf

Model Selection Through Sparse Maximum Likelihood Estimation

PDF Ebook 0.82 MB | PDF Book Pages: -
Recently, Huang et al. [2005] considered penalized maximum ... corresponds to seeking an estimate with the maximum worst-case log likelihood, over all ...
http://www.princeton.edu/~aspremon/jmlr.pdf

Multivariate probit models for conditional claim-types

PDF Ebook 1.06 MB | PDF Book Pages: -
recommend analyzing the distribution of these claim types using multivariate probit models, which ... of model assumes independence across the different outcomes. We ...
http://www.actuaries.org/AFIR/Colloquia/Stockholm/Young.pdf

Constrained Maximum Likelihood Estimation

PDF Ebook 0.76 MB | PDF Book Pages: -
In order to use the procedures in the CONSTRAINED MAXIMUM LIKELIHOOD ... 2. CONSTRAINED MAXIMUM LIKELIHOOD ESTIMATION. 2.2.3 Trust Region Method. With a poor ...
http://www.socsci.umn.edu/ssrf/doc/gauss50/cml2.0.pdf

arXiv:1004.4272v1 [q-fin.PM] 24 Apr 2010

PDF Ebook 0.54 MB | PDF Book Pages: -
... use of improved covariance matrix estimators as an alternative to the ... estimators, namely the sample covariance estimator used in the Markowitz. optimization, three estimators based on ... ...
http://arxiv.org/pdf/1004.4272v1

MAXIMUM LIKELIHOOD ESTIMATION

PDF Ebook 0.71 MB | PDF Book Pages: -
Nonetheless, the maximum likelihood estimator dis- cussed in this chapter remains the ... tion and hypothesis testing based on the maximum likelihood principle. ...
http://pages.stern.nyu.edu/~wgreene/DiscreteChoice/Readings/Greene-Chapter-16.pdf

Maximum Likelihood Estimation

PDF Ebook 0.70 MB | PDF Book Pages: -
2. MAXIMUM LIKELIHOOD ESTIMATION. library maxlik,pgraph; This enables GAUSS to find the ... MAXIMUM LIKELIHOOD is a set of procedures for the estimation of the parameters ...
http://econ.la.psu.edu/computing/pdf/ml5.0.pdf

Large Gaussian Covariance Matrix Estimation With Markov

PDF Ebook 0.51 MB | PDF Book Pages: -
therefore conditional independence given the other variables. ... explore conditional independence relationships among variables when they are observed ...
http://www2.isye.gatech.edu/~myuan/papers/scov.final.pdf

High-Breakdown Robust Multivariate Methods

PDF Ebook 0.89 MB | PDF Book Pages: -
ple and multivariate regression, discriminant analysis, principal components ... ate statistics, outliers, partial least squares, principal components, regression, ...
http://wis.kuleuven.be/stat/robust/Papers/reviewHighBreakdownStatisticalScience.pdf

A Matrix Extension Built Under-Sampled Likelihood Ratio Test

PDF Ebook 0.67 MB | PDF Book Pages: -
Abstract— Likelihood ratio tests are used in a range. of detection-estimation problems, ... This paper is based on "A Modified Likelihood Ratio Test for ...
http://www.academypublisher.com/jcm/vol02/no03/jcm02036472.pdf

An Object-Oriented Framework for Robust Multivariate Analysis

PDF Ebook 0.88 MB | PDF Book Pages: -
facilitates the creation and maintenance of reusable and modular components, an object- oriented framework for robust multivariate analysis was developed. The framework resides. in the packages ...
http://www.jstatsoft.org/v32/i03/paper

High Dimensional Covariance Matrix Estimation Using a Factor

PDF Ebook 0.32 MB | PDF Book Pages: -
We examine covariance matrix estimation in the asymptotic framework ... For example, the smallest and largest eigenvalues of a covariance matrix are related to ...
http://web.mit.edu/econometrics/Factor.pdf

Estimation of large dimensional sparse covariance matrices

PDF Ebook 0.66 MB | PDF Book Pages: -
i =1. in R. p. Suppose X. i -s have covariance matrix Σ. p. Often interested in estimating Σ. p ... Estimation of large dimensional sparse covariance matrices ...
http://www.stat.yale.edu/Conferences/Stats2009/ElKarSLIDES.pdf

Tree-Based Covariance Modeling of Hidden Markov Models

PDF Ebook 0.57 MB | PDF Book Pages: -
estimating a full covariance matrix, we interpolate the diagonal co ... full covariance matrices must be used, we may have to greatly. limit the total number of Gaussian components ...
http://www.cse.yorku.ca/~hj/mypubs/Jiang_ye.pdf

Covariance Estimation for High Dimensional Data Vectors Using

PDF Ebook 0.49 MB | PDF Book Pages: -
covariance matrix will be singular with p − n eigenvalues equal to zero. ... In this paper, we propose a new approach to covariance estimation, which is based on constrained ...
https://engineering.purdue.edu/~bouman/publications/pdf/nips2008.pdf

Sequential and adaptive learning algorithms for M-estimation

PDF Ebook 0.75 MB | PDF Book Pages: -
EM algorithm or the iterative reweighted least squares algorithm have been widely adopted. ... family of sequential algorithms based on the Bayesian formulation of the problem. ...
http://www.ee.latrobe.edu.au/~dennis/publication_pdf_files/simlisp.pdf

Consistent Covariance Matrix Estimation with Spatially

PDF Ebook 0.36 MB | PDF Book Pages: -
of common nonparametric covariance matrix estimation techniques yields standard error ... covariance matrix estimator which remedies the deficiencies of techniques which rely on large-T ...
http://siteresources.worldbank.org/DEC/Resources/RESTAT15.pdf


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