Mean and covariance matrix adaptive estimation for a weakly stationary process. Application in stochastic optimization
Year of publication: |
2008
|
---|---|
Authors: | Guigues, Vincent |
Published in: |
Statistics & Decisions. - Oldenbourg Wissenschaftsverlag GmbH, ISSN 2196-7040, ZDB-ID 2630803-4. - Vol. 26.2008, 2, p. 109-143
|
Publisher: |
Oldenbourg Wissenschaftsverlag GmbH |
Subject: | adaptive estimation | weakly stationary process | stochastic optimization | value-at-risk | portfolio management |
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