JSTOR Daily

Sample Mean and Sample Variance: Their Covariance and Their (In)Dependence

It is of interest to know what the covariance of sample mean and sample variance is without the assumption of normality. In this article we study such a problem. We show a simple derivation of the ...
GitHub

nkitayama/sample-pythoninexcel-data-analysis

本ページでは、インプレス様から出版している「Python in Excel入門: PythonとExcelで広がるデータ分析・データ整理・グラフ作成のスキル」のサンプルファイルを掲載しております。 [Code ...
Risk

An empirical evaluation of large dynamic covariance models in portfolio value-at-risk estimation

The estimation of portfolio value-at-risk (VaR) requires a good estimate of the covariance matrix. As it is well known that a sample covariance matrix based on some historical rolling window is noisy ...
JSTOR Daily

TESTS FOR SEPARABILITY IN NONPARAMETRIC COVARIANCE OPERATORS OF RANDOM SURFACES

This is a preview. Log in through your library . Abstract The assumption of separability of the covariance operator for a random image or hypersurface can be of substantial use in applications, ...
IEEE

MLE of Banded, Spiked, High-Dimensional Clutter Covariance–A Convex Relaxation Approach

Abstract: In high-dimensional Space-Time Adaptive Processing (STAP), accurate estimation of the clutter-plus-noise covariance matrix is challenging, especially in low-sample regimes where traditional ...
IEEE

Regularization for Covariance Parameterization of Direct Data-Driven LQR Control

Abstract: As the benchmark of data-driven control methods, the linear quadratic regulator (LQR) problem has gained significant attention. A growing trend is direct LQR design, which finds the optimal ...