Sökning: "covariance matrices"
Visar resultat 1 - 5 av 48 avhandlingar innehållade orden covariance matrices.
1. Studies in Estimation of Patterned Covariance Matrices
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
2. Rank Estimation in Elliptical Models : Estimation of Structured Rank Covariance Matrices and Asymptotics for Heteroscedastic Linear Regression
Sammanfattning : This thesis deals with univariate and multivariate rank methods in making statistical inference. It is assumed that the underlying distributions belong to the class of elliptical distributions. LÄS MER
3. 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
4. Bilinear and Trilinear Regression Models with Structured Covariance Matrices
Sammanfattning : This thesis focuses on the problem of estimating parameters in bilinear and trilinear regression models in which random errors are normally distributed. In these models the covariance matrix has a Kronecker product structure and some factor matrices may be linearly structured. LÄS MER
5. Limit theorems for generalizations of GUE random matrices
Sammanfattning : This thesis consists of two papers devoted to the asymptotics of random matrix ensembles and measure valued stochastic processes which can be considered as generalizations of the Gaussian unitary ensemble (GUE) of Hermitian matrices H=A+A†, where the entries of A are independent identically distributed (iid) centered complex Gaussian random variables. In the first paper, a system of interacting diffusing particles on the real line is studied; special cases include the eigenvalue dynamics of matrix-valued Ornstein-Uhlenbeck processes (Dyson's Brownian motion). LÄS MER