Search Results - subject:"Covariance matrix"

Seasonal Space–Time Models for Climate Systems

Niu, Xu-Feng; McKeague, Ian; Elsner, James - In: Statistical Inference for Stochastic Processes 6 (2003) 2, pp. 111-133

Persistent link: https://www.econbiz.de/10005169115

Honey, I Shrunk the Sample Covariance Matrix

Ledoit, Olivier; Wolf, Michael - Barcelona Graduate School of Economics (Barcelona GSE) - 2003

The central message of this paper is that nobody should be using the sample covariance matrix for the purpose of …, we suggest using the matrix obtained from the sample covariance matrix through a transformation called shrinkage. This …

Persistent link: https://www.econbiz.de/10010547234

On the Variance Covariance Matrix of the Maximum Likelihood Estimator of a Discrete Mixture

Lanot, Gauthier - EconWPA - 2002

estimation of the variance covariance matrix of the ML estimator of the parameters. I discuss further two possible applications …

Persistent link: https://www.econbiz.de/10005556375

An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator

Andrews, Donald W.K.; Monahan, Christopher J. - Cowles Foundation for Research in Economics, Yale University - 1990

This paper considers a new class of heteroskedasticity and autocorrelation consistent (HAC) covariance matrix …

Persistent link: https://www.econbiz.de/10005762589

Improved Estimation of Parameter Matrices in a One-Sample and Two-Sample Problems

Leung, Pui; Ng, Foon - In: Annals of the Institute of Statistical Mathematics 53 (2001) 4, pp. 769-780

Persistent link: https://www.econbiz.de/10005395595

Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation

Andrews, Donald W.K. - Cowles Foundation for Research in Economics, Yale University - 1988

This paper is concerned with the estimation of covariance matrices in the presence of heteroskedasticity and autocorrelation of unknown forms. Currently available estimators that are designed for this context depend upon the choice of a lag truncation parameter and a weighting scheme. No results...

Persistent link: https://www.econbiz.de/10005762692