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Showing 1 to 3 of 3 for “"modified Cholesky decomposition"”.
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Contributions to Large Covariance and Inverse Covariance Matrices Estimation
… multivariate financial data. An order-invariant Cholesky-log-GARCH model is developed for estimating the time-varying covariance matrices based on the modified Cholesky decomposition. This decomposition provides a statistically interpretable parametrization of the covariance matrix. The key idea …
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Essays on applied econometrics
… the published paper proposes the use of a modified Cholesky decomposition method, instead of the tapered estimator, for the inverse autocovariance matrix. The second chapter examines the causality between the odds of winning an election and vote-buying. In Taiwan in 2010, eight cities and …
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Efficient formulation and implementation of ensemble based methods in data assimilation
… efficient implementation of the EnKF based on a modified Cholesky decomposition for inverse covariance matrix estimation. This approach exploits the conditional independence of background errors between distant model components with regard to a predefined radius of influence. Consequently, sparse …