Sökning: "covariance function"
Visar resultat 1 - 5 av 68 avhandlingar innehållade orden covariance function.
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
Sammanfattning : The theory of stochastic time-frequency analysis of non-stationary random processes has mostly been developed for processes in continuous time. In practice however, random processes are observed, processed, and interpreted at a finite set of time points. LÄS MER
Sammanfattning : In this thesis, which consists of two papers, we consider the modeling of positive definitive symmetric matrices, in particular covariance matrices of financial asset returns. The return covariance matrix describes the magnitude in which prices of financial assets tend to change over time, and how price changes between different assets are related. LÄS MER
Sammanfattning : Many testing, estimation and confidence interval procedures discussed in the multivariate statistical literature are based on the assumption that the observation vectors are independent and normally distributed. The main reason for this is that often sets of multivariate observations are, at least approximately, normally distributed. LÄS MER
5. Ambiguity Domain Definitions and Covariance Function Estimation for Non-Stationary Random Processes in Discrete Time
Sammanfattning : The ambiguity domain plays a central role in estimating the time-varying spectrum of a non-stationary random process in continuous time, since multiplication in this domain is equivalent with estimating the covariance function of the random process using an intuitively appealing estimator. For processes in discrete time there exists a corresponding covariance function estimator. LÄS MER