Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
Results
Showing 1 to 8 of 8 for “"Covariance matrix estimation"”.
-
Covariance matrix estimation methods for constrained portfolio optimization in a South African setting
… to be implemented, esti- mated parameters (covariance matrix for the constrained portfo- lio) are required. The problem with these estimated parameters is that they have to be extracted from historical data based on certain assumptions. Because of the di erent estimation methods that can be …
-
Personalization of future urban mobility
… to HB procedure with alternative priors for covariance matrix estimation in order to improve the estimation performance. We also evaluate the benefits of personalization through a Boston case study based on real travel survey data. In addition, we present a sequential personalized menu …
-
New Covariance-Based Feature Extraction Methods for Classification and Prediction of High-Dimensional Data
… and nonstationary data such as financial data, covariance matrix estimation becomes unreliable, and this adversely affects the representation of data in the PCA domain. In this thesis, we first introduce a new feature extraction method called summed component analysis (SCA), which makes use of …
-
High-dimensional covariance estimation with applications to functional genomics
Covariance matrix estimation plays a central role in statistical analyses. In molecular biology, for instance, covariance estimation facilitates the identification of dependence structures between molecular variables that shed light on the underlying biological processes. However, covariance …
-
Essays in Financial Econometrics
… financial econometrics. They include 2 papers on covariance matrix estimation and GMM estimation in panel data models, as well as one paper on ETF mispricing and authorized participants' inventory. In the first 2 papers, I proposed two new methods and applied them to the applications including …
-
Geometric Methods for Point Estimation
… dissertation is on geometric aspects of point estimation problems. In the first half of this work, we examine the estimation of location parameters for non-Euclidean data that lies in a known manifold or metric space. Ideas from statistical decision theory motivate the construction of new …
-
Contributions to Robust Methods: Modified Rank Covariance Matrix and Spatial-EM Algorithm
… correlation analysis are based on sample covariance matrix. Those moment-based techniques are optimal (most efficient) under the normality distributional assumption. They are, however, extremely sensitive to outlying observations, susceptible to small perturbation in data and poor in the …
-
Efficient formulation and implementation of ensemble based methods in data assimilation
… is proposed. The rank deficiency of the ensemble covariance matrix is exploited in order to efficiently compute the analysis increments during the assimilation process. The computational effort of the proposed method is comparable to those of the best EnKF implementations found in the current …