ESTIMATION OF COVARIANCE MATRICES

被引:0
|
作者
KOSHEVOY, VM
机构
来源
RADIOTEKHNIKA I ELEKTRONIKA | 1986年 / 31卷 / 10期
关键词
D O I
暂无
中图分类号
TM [电工技术]; TN [电子技术、通信技术];
学科分类号
0808 ; 0809 ;
摘要
引用
收藏
页码:1964 / 1974
页数:11
相关论文
共 50 条
  • [41] Shrinkage-to-Tapering Estimation of Large Covariance Matrices
    Chen, Xiaohui
    Wang, Z. Jane
    McKeown, Martin J.
    IEEE TRANSACTIONS ON SIGNAL PROCESSING, 2012, 60 (11) : 5640 - 5656
  • [42] Distributed Noise Covariance Matrices Estimation in Sensor Networks
    Li, Jiahong
    Ma, Nan
    Deng, Fang
    2020 59TH IEEE CONFERENCE ON DECISION AND CONTROL (CDC), 2020, : 1158 - 1163
  • [43] Adaptive estimation of covariance matrices via Cholesky decomposition
    Verzelen, Nicolas
    ELECTRONIC JOURNAL OF STATISTICS, 2010, 4 : 1113 - 1150
  • [44] Estimation of large covariance matrices with mixed factor structures
    Dai, Runyu
    Uematsu, Yoshimasa
    Matsuda, Yasumasa
    ECONOMETRICS JOURNAL, 2024, 27 (01): : 62 - 83
  • [45] REML ESTIMATION OF COVARIANCE MATRICES WITH RESTRICTED PARAMETER SPACES
    CALVIN, JA
    DYKSTRA, RL
    JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION, 1995, 90 (429) : 321 - 329
  • [46] Eigenvalue Estimation of the Exponentially Windowed Sample Covariance Matrices
    Yazdian, Ehsan
    Gazor, Saeed
    Bastani, Mohammad Hasan
    Sharifitabar, Mohsen
    IEEE TRANSACTIONS ON INFORMATION THEORY, 2016, 62 (07) : 4300 - 4311
  • [47] Estimation of High Dimensional Covariance Matrices by Shrinkage Algorithms
    Li, Jianbo
    Zhou, Jie
    Zhang, Bin
    Li, X. Rong
    2017 20TH INTERNATIONAL CONFERENCE ON INFORMATION FUSION (FUSION), 2017, : 955 - 962
  • [48] A shrinkage approach to joint estimation of multiple covariance matrices
    Zongliang Hu
    Zhishui Hu
    Kai Dong
    Tiejun Tong
    Yuedong Wang
    Metrika, 2021, 84 : 339 - 374
  • [49] Bounds for estimation of covariance matrices from heterogeneous samples
    Besson, Olivier
    Bidon, Stephanie
    Tourneret, Jean-Yves
    IEEE TRANSACTIONS ON SIGNAL PROCESSING, 2008, 56 (07) : 3357 - 3362
  • [50] Nonparametric estimation of large covariance matrices of longitudinal data
    Wu, WB
    Pourahmadi, M
    BIOMETRIKA, 2003, 90 (04) : 831 - 844