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Showing 1 to 1 of 1 for “"non-stationary covariance"”.
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A non-convex framework for structured non-stationary covariance recovery theory and application
… The thesis develops a structured time-indexed covariance model for non-stationary time-series data by decomposing them into sparse spatial and temporally smooth components. Traditionally, time-indexed covariance models without structure require a large sample size to be estimable. While the …