Sökning: "Wishart matrix."

Visar resultat 1 - 5 av 15 avhandlingar innehållade orden Wishart 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. Contributions to High–Dimensional Analysis under Kolmogorov Condition

   Författare :Jolanta Maria Pielaszkiewicz; Dietrich von Rosen; Martin Singul; Thomas Holgersson; Linköpings universitet; []
   Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Eigenvalue distribution; free moments; free Poisson law; Marchenko-Pastur law; random matrices; spectral distribution; Wishart matrix; Mathematics; Matematik;

   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

4. 3. On functions of a Wishart matrix and a normal vector with applications

   Författare :Edward Ngailo; Taras Bodnar; Stockholms universitet; []
   Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Mathematical Statistics; matematisk statistik;

   Sammanfattning : This thesis consists of two papers which take a critical look on functions of an inverse Wishart matrix and a Gaussian vector. In the first paper, the product expression, of which the inverse of the pooled estimator of the covariance matrix is inverse Wishart distributed and the difference of sample means is multivariate normally distributed, is investigated by exploring the distributional properties via a stochastic representation for both the finite sample case and the infinite sample case under the large-dimensional asymptotic regime. LÄS MER

5. 4. Testing spatial independence using a separable covariance matrix

   Författare :Martin Ohlson; Dietrich von Rosen; Linköpings universitet; []
   Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; MATHEMATICS; MATEMATIK;

   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

7. 5. Distributed Detection in Cognitive Radio Networks

   Författare :Ahti Ainomäe; Mats Bengtsson; Tõnu Trump; Olav Tirkkonen; KTH; []
   Nyckelord :TEKNIK OCH TEKNOLOGIER; ENGINEERING AND TECHNOLOGY; Cognitive Radio; distributed estimation; distributed detection; Diffusion LMS; Diffusion Networks; Adaptive Networks; Spectrum Sensing; Energy Detection; Random Matrix; Largest Eigenvalue Detection.; Electrical Engineering; Elektro- och systemteknik;

   Sammanfattning : One of the problems with the modern radio communication is the lack of availableradio frequencies. Recent studies have shown that, while the available licensed radiospectrum becomes more occupied, the assigned spectrum is significantly underutilized. LÄS MER