Sökning: "Covariance Matrix"

Visar resultat 1 - 5 av 114 avhandlingar innehållade orden Covariance Matrix.

  1. 1. Modeling the covariance matrix of financial asset returns

    Författare :Gustav Alfelt; Joanna Tyrcha; Taras Bodnar; Vasyl Golosnoy; Stockholms universitet; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Realized covariance; Autoregressive time-series; Goodness-of-fit test; Matrix singularity; Portfolio theory; Wishart distribution; Matrix-variate gamma distribution; Parameter estimation; High-dimensional data; Moore-Penrose inverse; matematisk statistik; Mathematical Statistics;

    Sammanfattning : The covariance matrix of asset returns, which describes the fluctuation of asset prices, plays a crucial role in understanding and predicting financial markets and economic systems. In recent years, the concept of realized covariance measures has become a popular way to accurately estimate return covariance matrices using high-frequency data. LÄS MER

  3. 2. A study of multilevel models with block circular  symmetric covariance structures

    Författare :Yuli Liang; Tatjana von Rosen; Dietrich von Rosen; Abdullah Almasri; Stockholms universitet; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Block circular symmetry; Covariance matrix; Explicit solution; Maximum likelihood estimator; Multilevel model; Spectrum; statistik; Statistics; Matematik;

    Sammanfattning : This thesis concerns the study of multilevel models with specific patterned covariance structures and addresses the issues of maximum likelihoodestimation. In particular, circular symmetric hierarchical datastructures are considered. LÄS MER

  4. 3. Contributions to Estimation and Testing Block Covariance Structures in Multivariate Normal Models

    Författare :Yuli Liang; Tatjana von Rosen; Dietrich von Rosen; Ivan Žežula; Stockholms universitet; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Block circular symmetry; covariance parameters; explicit maximum likelihood estimator; likelihood ratio test; restricted model; Toeplitz matrix; Statistics; statistik;

    Sammanfattning : This thesis concerns inference problems in balanced random effects models with a so-called block circular Toeplitz covariance structure. This class of covariance structures describes the dependency of some specific multivariate two-level data when both compound symmetry and circular symmetry appear simultaneously. LÄS MER

  5. 4. Exploiting Prior Information in Parametric Estimation Problems for Multi-Channel Signal Processing Applications

    Författare :Petter Wirfält; Magnus Jansson; Abdelhak Zoubir; KTH; []
    Nyckelord :TEKNIK OCH TEKNOLOGIER; ENGINEERING AND TECHNOLOGY; Array signal processing; covariance matrix; damped sinusoids; direction of arrival estimation; frequency estimation; Kronecker; NQR; NMR; parameter estimation; persymmetric; signal processing algorithms; structured covariance estimation; Toeplitz; Array; signalbehandling; kovariansmatris; dämpad sinus; riktningbestämning; frekvensskattning; Kronecker; NQR; NMR; parameterestimering; persymmetrisk; algoritm; strukturerad kovariansmatris; Toeplitz;

    Sammanfattning : This thesis addresses a number of problems all related to parameter estimation in sensor array processing. The unifying theme is that some of these parameters are known before the measurements are acquired. LÄS MER

  7. 5. Multiport Antenna Systems for Space-Time Wireless Communications

    Författare :Nima Jamaly; Chalmers tekniska högskola; []
    Nyckelord :TEKNIK OCH TEKNOLOGIER; ENGINEERING AND TECHNOLOGY; Spatial Correlation; Multiport Matching Efficiency; Multiport Antennas; Uncorrelated Multipath.; Richness Threshold; Multiport Effective Length; Pattern Overlap Matrix; Multiport Effective Area; Non-rich Multipath; Covariance Matrix; Predictor Antenna System; Correlated Multipath;

    Sammanfattning : Multiport antenna systems are indispensable part of modern wireless communication systems. Their crucial impact on the overall performance requires sufficient regard and dedication to a precise design and characterisation. This concern has been to a considerable extent addressed in the frame of the current thesis. LÄS MER