Search Results - subject:"covariance matrices"

Noisy covariance matrices and portfolio optimization II

Pafka, Szilárd; Kondor, Imre - In: Physica A: Statistical Mechanics and its Applications 319 (2003) C, pp. 487-494

covariance matrices determined from empirical financial time series appear to contain such a high amount of noise that their … covariance matrices in finance, which constitute the pillars of modern investment theory and have also gained industry … measurement context: if covariance matrices are used simply for measuring the risk of portfolios with a fixed composition rather …

Persistent link: https://www.econbiz.de/10011060009

Some Geometry of the Cone of Nonnegative Definite Matrices and Weights of Associated X<Superscript>2</Superscript> Distribution

Kuriki, Satoshi; Takemura, Akimichi - In: Annals of the Institute of Statistical Mathematics 52 (2000) 1, pp. 1-14

Persistent link: https://www.econbiz.de/10005395586

The Structure of a Linear Model: Sufficiency, Ancillarity, Invariance, Equivariance, and the Normal Distribution

Bischoff, Wolfgang - In: Journal of Multivariate Analysis 73 (2000) 2, pp. 180-198

Consider a general linear model Y=X[beta]+Z where CovÂ Z may be known only partially. We investigate carefully the notions of sufficiency, ancillarity, invariance, and equivariance and related notions for projectors in a general linear model. In this way we can prove a Basu type theorem. This...

Persistent link: https://www.econbiz.de/10005221451

Common Principal Components for Dependent Random Vectors

Neuenschwander, Beat E.; Flury, Bernard D. - In: Journal of Multivariate Analysis 75 (2000) 2, pp. 163-183

Let the kp-variate random vector X be partitioned into k subvectors Xi of dimension p each, and let the covariance matrix [Psi] of X be partitioned analogously into submatrices [Psi]ij. The common principal component (CPC) model for dependent random vectors assumes the existence of an orthogonal...

Persistent link: https://www.econbiz.de/10005221668

The Decomposition of the Behrens-Fisher Statistic in q-Dimensional Common Principal Component Submodels

Nel, D.G.; Pienaar, I. - In: Annals of the Institute of Statistical Mathematics 50 (1998) 2, pp. 241-252

Persistent link: https://www.econbiz.de/10005616237

Fixed-Width Simultaneous Confidence Intervals for Multinormal Means in Several Intraclass Correlation Models

Aoshima, Makoto; Mukhopadhyay, Nitis - In: Journal of Multivariate Analysis 66 (1998) 1, pp. 46-63

([greater-or-equal, slanted]2) independent multivariate normal distributions is considered when those covariance matrices have the intraclass …

Persistent link: https://www.econbiz.de/10005199461

Error rates in quadratic discrimination with constraints on the covariance matrices

Flury, Bernhard; Schmid, Martin; Narayanan, A. - In: Journal of Classification 11 (1994) 1, pp. 101-120

Persistent link: https://www.econbiz.de/10005156046

Double shrinkage estimation of ratio of scale parameters

Kubokawa, Tatsuya - In: Annals of the Institute of Statistical Mathematics 46 (1994) 1, pp. 95-116

Persistent link: https://www.econbiz.de/10005169316

Selecting variables for discrimination when covariance matrices are unequal

Paranjpe, S. A.; Gore, A. P. - In: Statistics & Probability Letters 21 (1994) 5, pp. 417-419

for the case of unequal covariance matrices. An application to the problem of discriminating between two geographic …

Persistent link: https://www.econbiz.de/10005319587

When can we trust theF-approximation of the box-test?

Foerster, Friedrich; Stemmler, Gerhard - In: Psychometrika 55 (1990) 4, pp. 727-728

Persistent link: https://www.econbiz.de/10005757978