A Random Matrix-Theoretic Approach to Handling Singular Covariance Estimates

A Random Matrix-Theoretic Approach to Handling Singular Covariance Estimates

In many practical situations we would like to estimate the covariance matrix of a set of variables from an insufficient amount of data. More specifically, if we have a set of N independent, identically distributed measurements of an M dimensional random vector the maximum likelihood estimate is the...

Volledige beschrijving

Bibliografische gegevens
Hoofdauteurs:	Marzetta, T, Tucci, G, Simon, S
Formaat:	Journal article
Taal:	English
Gepubliceerd in:	2011

Gelijkaardige items

Target Detection Using Nonsingular Approximations for a Singular Covariance Matrix
door: Nir Gorelik, et al.
Gepubliceerd in: (2012-01-01)

Weighted covariance matrix estimation
door: Yang, Guangren, et al.
Gepubliceerd in: (2020)

Covariance estimation on matrix manifolds
door: Musolas Otaño, Antoni M.(Antoni Maria)
Gepubliceerd in: (2020)

The Effects of Data Imputation on Covariance and Inverse Covariance Matrix Estimation
door: Tuan L. Vo, et al.
Gepubliceerd in: (2024-01-01)

<i>k</i>-Covariance: An Approach of Ensemble Covariance Estimation and Undersampling to Stabilize the Covariance Matrix in the Global Minimum Variance Portfolio
door: Tuan Tran, et al.
Gepubliceerd in: (2022-06-01)

A unified approach for covariance matrix estimation under Stein loss
door: Haddouche, Anis M., et al.
Gepubliceerd in: (2022-10-01)

A test on the location of tangency portfolio for small sample size and singular covariance matrix
door: Svitlana Drin, et al.
Gepubliceerd in: (2024-07-01)

A Covariance Matrix Reconstruction Approach for Single Snapshot Direction of Arrival Estimation
door: Murdifi Muhammad, et al.
Gepubliceerd in: (2022-04-01)

The performance of robust heteroscedasticity consistent covariance matrix estimator
door: Sani, Muhammad, et al.
Gepubliceerd in: (2019)

Hypothesis test and estimator of high dimensional covariance matrix
door: Yang, Qing
Gepubliceerd in: (2015)

Consistent Estimators of the Population Covariance Matrix and Its Reparameterizations
door: Chia-Hsuan Tsai, et al.
Gepubliceerd in: (2025-01-01)

Asset Allocation Strategies Using Covariance Matrix Estimators
door: László PáL
Gepubliceerd in: (2022-09-01)

Robust Estimation of the Covariance Matrix From Data With Outliers
door: Petre Stoica, et al.
Gepubliceerd in: (2024-01-01)

Cholesky-based model averaging for covariance matrix estimation
door: Hao Zheng, et al.
Gepubliceerd in: (2017-01-01)

Jackknife covariance matrix estimation for observations from mixture
door: Rostyslav Maiboroda, et al.
Gepubliceerd in: (2019-11-01)

Econometric Computing with HC and HAC Covariance Matrix Estimators
door: Achim Zeileis
Gepubliceerd in: (2004-11-01)

Ideal vs. real: a systematic review on handling covariates in randomized controlled trials
door: Jody D. Ciolino, et al.
Gepubliceerd in: (2019-07-01)

Comparison of methods for handling covariate missingness in propensity score estimation with a binary exposure
door: Donna L. Coffman, et al.
Gepubliceerd in: (2020-06-01)

The Impact of the Covariance Matrix Sampling on the Angle of Arrival Estimation Accuracy
door: Mohammed A. G. Al-Sadoon, et al.
Gepubliceerd in: (2019-08-01)

The effect on cosmological parameter estimation of a parameter dependent covariance matrix
door: Darsh Kodwani, et al.
Gepubliceerd in: (2019-03-01)

An Introduction to Shrinkage Estimation of the Covariance Matrix: A Pedagogic Illustration
door: Clarence C. Y. Kwan
Gepubliceerd in: (2011-01-01)

A Fast Algorithm for the Computation of HAC Covariance Matrix Estimators
door: Jochen Heberle, et al.
Gepubliceerd in: (2017-01-01)

Covariance Matrix Estimation under Total Positivity for Portfolio Selection
door: Agrawal, Raj, et al.
Gepubliceerd in: (2022)

Robust Empirical Bayes Estimation of the Elliptically Countoured Covariance Matrix
door: Z. Khodadadi, et al.
Gepubliceerd in: (2011-06-01)

A linear prediction approach to two-dimensional spectral factorization and spectral estimation.
door: Marzetta, Thomas Louis
Gepubliceerd in: (2009)

A Log-Det Heuristics for Covariance Matrix Estimation: The Analytic Setup
door: Enrico Bernardi, et al.
Gepubliceerd in: (2022-07-01)

The effect on cosmological parameter estimation of a parameter dependent covariance matrix
door: Kodwani, D, et al.
Gepubliceerd in: (2019)

Simulation study - handling missing covariates in the context of external validation
door: Bonnett Laura J, et al.
Gepubliceerd in: (2011-12-01)

The least singular value of a random symmetric matrix
door: Marcelo Campos, et al.
Gepubliceerd in: (2024-01-01)

Covariant singularities in quantum field theory and quantum gravity
door: Roberto Casadio, et al.
Gepubliceerd in: (2021-10-01)

A statistically homogeneous pixel selection approach for adaptive estimation of multitemporal InSAR covariance matrix
door: Changjun Zhao, et al.
Gepubliceerd in: (2022-06-01)

COMPARISON MRCD AND ORACLE FOR ESTIMATING THE DETERMINANT OF HIGH DIMENSIONAL COVARIANCE MATRIX
door: Fatimah Abdul – Hammeed Jawad Al – Bermani, et al.
Gepubliceerd in: (2024-05-01)

Estimation Method of Covariance Matrix in Atmospheric Inversion of CO2 Emissions
door: Han Yubin, et al.
Gepubliceerd in: (2024-01-01)

Estimating model error covariance matrix parameters in extended Kalman filtering
door: A. Solonen, et al.
Gepubliceerd in: (2014-09-01)

Sea Clutter Covariance Matrix Estimation and Its Application to Whitening Filter
door: Sanghyun Choi, et al.
Gepubliceerd in: (2021-04-01)

The Spatial Sign Covariance Matrix and Its Application for Robust Correlation Estimation
door: Alexander Dürre, et al.
Gepubliceerd in: (2017-04-01)

Estimating the covariance matrix from unsynchronized high frequency financial data
door: Zhou, Bin
Gepubliceerd in: (2009)

A study of covariance matrix estimators for Markowitz mean-variance portfolio optimization
door: Luo, Yun
Gepubliceerd in: (2015)

Estimation of Random Coefficient Autoregressive Model with Error in Covariates
door: Xiaolei Zhang, et al.
Gepubliceerd in: (2024-05-01)

RCMAT: a regularized covariance matrix approach to testing gene sets
door: Reimers Mark A, et al.
Gepubliceerd in: (2009-09-01)