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A Sparse Approximate Factor Model for High-Dimensional Covariance Matrix Estimation and Portfolio Selection

• Authors : Daniele, Maurizio; Pohlmeier, Winfried; Zagidullina, Aygul

Subjects: approximate factor model; l (1)-regularization; high-dimensional covariance matrix

• Source: Journal of Financial Econometrics

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Robust Estimation of the Covariance Matrix From Data With Outliers

• Authors : Stoica, Petre; Babu, Prabhu; Varshney, Piyush

Subjects: Covariance matrices; Estimation; Testing

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Converting a covariance matrix from local currencies to a common currency

• Authors : Gianluca Fusai; Domenico Mignacca; Khalifa Al-Thani ...

Subjects: covariance matrix; multicurrency; portfolio selection

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Robust Estimation of the Covariance Matrix From Data With Outliers

• Authors : Petre Stoica; Prabhu Babu; Piyush Varshney

Subjects: Robust covariance matrix estimation; outlier detection; minimum covariance determinant

• Source: IEEE Open Journal of Signal Processing, Vol 5, Pp 1061-1072 (2024)

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Covariance Matrix Reconstruction of GRACE Monthly Solutions Using Common Factors and Individual Formal Errors

• Authors : Lin Zhang; Yunzhong Shen; Kunpu Ji

Subjects: Covariance matrix; covariance reconstruction; gravity field model

• Source: IEEE Journal of Selected Topics in Applied Earth Observations and Remote Sensing, Vol 17, Pp 15567-15582 (2024)

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Intrinsic Bayesian Cramér-Rao Bound with an Application to Covariance Matrix Estimation

• Authors : Bouchard, Florent; Renaux, Alexandre; Ginolhac, Guillaume ...

Subjects: Cramér-Rao bound; Riemannian geometry; Bayesian estimation

• Source: ISSN: 0018-9448 ; IEEE Transactions on Information Theory ; https://hal.univ-grenoble-alpes.fr/hal-04770231 ; IEEE Transactions on Information Theory, In press, pp.1-1.

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Mainlobe Interference Suppression Based on Compressive Sensing and Covariance Matrix Reconstruction

• Authors : Zhao, X.; Ren, A.

Subjects: Mainlobe interference suppression; compressive sensing; covariance matrix reconstruction

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Intrinsic Bayesian Cramér-Rao Bound with an Application to Covariance Matrix Estimation

• Authors : Bouchard, Florent; Renaux, Alexandre; Ginolhac, Guillaume ...

Subjects: Cramér-Rao bound; Riemannian geometry; Bayesian estimation

• Source: ISSN: 0018-9448 ; IEEE Transactions on Information Theory ; https://hal.univ-grenoble-alpes.fr/hal-04770231 ; IEEE Transactions on Information Theory, In press, pp.1-1.

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Complex Parameter Rao and Wald Tests for Assessing the Bandedness of a Complex-Valued Covariance Matrix

• Authors : Zhenghan Zhu

Subjects: complex parameter Wald test; complex parameter Rao test; bandedness

• Source: Signals, Vol 5, Iss 1, Pp 1-17 (2024)

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Mainlobe Interference Suppression Based on Compressive Sensing and Covariance Matrix Reconstruction

• Authors : X. Zhao; A. Ren

Subjects: mainlobe interference suppression; compressive sensing; covariance matrix reconstruction

• Source: Radioengineering, Vol 33, Iss 1, Pp 204-212 (2024)

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