Sökning: "Wishart distribution"
Visar resultat 1 - 5 av 15 avhandlingar innehållade orden Wishart distribution.
1. Contributions to High–Dimensional Analysis under Kolmogorov Condition
Sammanfattning : This thesis is about high–dimensional problems considered under the so{called Kolmogorov condition. Hence, we consider research questions related to random matrices with p rows (corresponding to the parameters) and n columns (corresponding to the sample size), where p > n, assuming that the ratio converges when the number of parameters and the sample size increase. LÄS MER
2. Modeling the covariance matrix of financial asset returns
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. Testing spatial independence using a separable covariance matrix
Sammanfattning : Spatio-temporal processes like multivariate time series and stochastic processes occur in many applications, for example the observations from functional magnetic resonance imaging (fMRl) or positron emission tomography (PET). It is interesting to test independence between k sets of the variables, that is testing spatial independence. LÄS MER
4. Extreme points of the Vandermonde determinant in numerical approximation, random matrix theory and financial mathematics
Sammanfattning : This thesis discusses the extreme points of the Vandermonde determinant on various surfaces, their applications in numerical approximation, random matrix theory and financial mathematics. Some mathematical models that employ these extreme points such as curve fitting, data smoothing, experimental design, electrostatics, risk control in finance and method for finding the extreme points on certain surfaces are demonstrated. LÄS MER
5. Large deviations of condition numbers of random matrices
Sammanfattning : Random matrix theory has found many applications in various fields such as physics, statistics, number theory and so on. One important approach of studying random matrices is based on their spectral properties. In this thesis, we investigate the limiting behaviors of condition numbers of suitable random matrices in terms of large deviations. LÄS MER