Journal of Applied Probability, Vol. 27, No. 1 (Mar., 1990), pp. 156-170 (15 pages) Let Xt be a discrete-time multivariate stationary process possessing an infinite autoregressive representation and ...
Download PDF More Formats on IMF eLibrary Order a Print Copy Create Citation This paper proposes a novel shrinkage estimator for high-dimensional covariance matrices by extending the Oracle ...
The estimated covariance matrix of the parameter estimates is computed as the inverse Hessian matrix, and for unconstrained problems it should be positive definite. If the final parameter estimates ...
This short paper demonstrates how a covariance matrix estimated using log returns of multiple assets in their respective base currencies can be converted directly into a covariance matrix in a single ...
Investopedia contributors come from a range of backgrounds, and over 25 years there have been thousands of expert writers and editors who have contributed. Gordon Scott has been an active investor and ...
Given the drawbacks of implementing multivariate analysis for mapping multiple traits in genome-wide association study (GWAS), principal component analysis (PCA) has been widely used to generate ...
The COV= option must be specified to compute an approximate covariance matrix for the parameter estimates under asymptotic theory for least-squares, maximum-likelihood, or Bayesian estimation, with or ...
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