Sökning: "Wishart matrix"
Visar resultat 1 - 5 av 15 avhandlingar innehållade orden Wishart matrix.
1. 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
2. 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
3. On functions of a Wishart matrix and a normal vector with applications
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
4. 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
5. Distributed Detection in Cognitive Radio Networks
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