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Robust Covariance Matrix Estimation: HAC Estimates with Long Memory/Antipersistence Correction

• Authors : Robinson, P. M.

• Source: Econometric Theory, 2005 Feb 01. 21(1), 171-180.

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Limit of the Smallest Eigenvalue of a Large Dimensional Sample Covariance Matrix

• Authors : Bai, Z. D.; Yin, Y. Q.

• Source: The Annals of Probability, 1993 Jul 01. 21(3), 1275-1294.

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Consistent Covariance Matrix Estimation with Spatially Dependent Panel Data

• Authors : Driscoll, John C.; Kraay, Aart C.

• Source: The Review of Economics and Statistics, 1998 Nov 01. 80(4), 549-560.

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An Approximate Inverse for the Covariance Matrix of Moving Average and Autoregressive Processes

• Authors : Shaman, Paul

• Source: The Annals of Statistics, 1975 Mar 01. 3(2), 532-538.

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COVARIANCE MATRIX ESTIMATION FOR STATIONARY TIME SERIES

• Authors : Xiao, Han; Wu, Wei Biao

• Source: The Annals of Statistics, 2012 Feb 01. 40(1), 466-493.

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Enhancing the competitive swarm optimizer with covariance matrix adaptation for large scale optimization

• Authors : Junqing Yuan; Qingzheng Xu; Zhou Lei

Subjects: Mathematical optimization; Computer science; Covariance matrix

• Source: Applied Intelligence. 51:4984-5006

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A Class of Decompositions of the Variance-Covariance Matrix of a Generalized Error Components Model

• Authors : Wansbeek, Tom; Kapteyn, Arie

• Source: Econometrica, 1982 May 01. 50(3), 713-724.

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Consistent Covariance Matrix Estimation with Cross-Sectional Dependence and Heteroskedasticity in Financial Data

• Authors : Froot, Kenneth A.

• Source: The Journal of Financial and Quantitative Analysis, 1989 Sep 01. 24(3), 333-355.

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Consistent Covariance Matrix Estimation for Dependent Heterogeneous Processes

• Authors : Hansen, Bruce E.

• Source: Econometrica, 1992 Jul 01. 60(4), 967-972.

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The Covariance Matrix of a Continuous Autoregressive Vector Time-Series

• Authors : Franklin, Joel N.

• Source: The Annals of Mathematical Statistics, 1963 Dec 01. 34(4), 1259-1264.

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The Covariance Matrix of Runs Up and Down

• Authors : Levene, H.; Wolfowitz, J.

• Source: The Annals of Mathematical Statistics, 1944 Mar 01. 15(1), 58-69.

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Analysis on the Empirical Spectral Distribution of Large Sample Covariance Matrix and Applications for Large Antenna Array Processing

• Authors : Robert C. Qiu; Guanping Lu; Jinsong Wu

Subjects: Wishart distribution; LRT; General Computer Science

• Source: IEEE Access, Vol 7, Pp 30135-30141 (2019)

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Diagonal Acceleration for Covariance Matrix Adaptation Evolution Strategies

• Authors : Youhei Akimoto; Nikolaus Hansen;

Subjects: FOS: Computer and information sciences; active covariance matrix update; covariance matrix adaptation

• Source: Evolutionary ComputationEvolutionary Computation, Massachusetts Institute of Technology Press (MIT Press), 2020, 28 (3), pp.405-435. ⟨10.1162/evco_a_00260⟩Evolutionary Computation,

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Improving portfolios global performance using a cleaned and robust covariance matrix estimate

• Authors : Jean-Philippe Ovarlez; Emmanuelle Jay; Frédéric Pascal ...

Subjects: 0209 industrial biotechnology; Covariance matrix; Gaussian

• Source: Soft ComputingSoft Computing, Springer Verlag, 2020, ⟨10.1007/s00500-020-04840-9⟩

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Blind deconvolution of covariance matrix inverses for autoregressive processes

• Authors : Anatoly Zhigljavsky; Nina Golyandina

Subjects: Blind deconvolution; Numerical Analysis; Algebra and Number Theory

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Numerical Reconstruction of the Covariance Matrix of a Spherically Truncated Multinormal Distribution

• Authors : Simona Toti; Romina Filippini; Filippo Palombi ...

Subjects: Statistics and Probability; Wishart distribution; Article Subject

• Source: Journal of Probability and Statistics, Vol 2017 (2017)

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Estimation of a high-dimensional covariance matrix with the Stein loss

• Authors : Hisayuki Tsukuma

Subjects: Statistics and Probability; Numerical Analysis; Covariance function

• Source: Journal of Multivariate Analysis. 148:1-17

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Spectral analysis of the Moore–Penrose inverse of a large dimensional sample covariance matrix

• Authors : Holger Dette; Nestor Parolya; Taras Bodnar

Subjects: Statistics and Probability; Numerical Analysis; Covariance function

• Source: Journal of Multivariate Analysis. 148:160-172

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The eigenvalues of the sample covariance matrix of a multivariate heavy-tailed stochastic volatility model

• Authors : Anja Janssen; Xiaolei Xie; Thomas Mikosch

Subjects: Statistics and Probability; Multivariate statistics; Sequence

• Source: Bernoulli 24, no. 2 (2018), 1351-1393

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ON THE POWER OF INVARIANT TESTS FOR HYPOTHESES ON A COVARIANCE MATRIX

• Authors : David Preinerstorfer; Benedikt M. Pötscher

Subjects: FOS: Computer and information sciences; Economics and Econometrics; Spatial correlation

• Source: Econometric Theory. 33:1-68

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A compound decision approach to covariance matrix estimation

• Authors : Huiqin Xin; Sihai Dave Zhao

Subjects: Methodology (stat.ME); FOS: Computer and information sciences; Statistics and Probability

• Source: BiometricsREFERENCES.

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Testing and estimating change-points in the covariance matrix of a high-dimensional time series

• Authors : Ansgar Steland

Subjects: FOS: Computer and information sciences; Statistics and Probability; Multivariate statistics

• Source: Journal of Multivariate Analysis. 177:104582

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Bayesian inference for spectral projectors of the covariance matrix

• Authors : Vladimir Spokoiny; Igor Silin

Subjects: Statistics and Probability; Von mises theorem; principal component analysis

• Source: Electron. J. Statist. 12, no. 1 (2018), 1948-1987

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Random matrix-improved estimation of covariance matrix distances

• Authors : Eric Moisan; Malik Tiomoko; Steeve Zozor ...

Subjects: FOS: Computer and information sciences; Statistics and Probability; Computer Science - Machine Learning

• Source: Journal of Multivariate AnalysisJournal of Multivariate Analysis, Elsevier, 2019, 174, pp.104531. ⟨10.1016/j.jmva.2019.06.009⟩

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Detecting seismic activity with a covariance matrix analysis of data recorded on seismic arrays

• Authors : Matthieu Landès; Léonard Seydoux; J. de Rosny ...

Subjects: Volcano monitoring; 010504 meteorology & atmospheric sciences; Covariance matrix

• Source: Geophysical Journal InternationalGeophysical Journal International, 2016, 204, pp.1430-1442. ⟨10.1093/gji/ggv531⟩

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Large dimensional analysis and optimization of robust shrinkage covariance matrix estimators

• Authors : Matthew R. McKay; Romain Couillet;

Subjects: Statistics and Probability; Shrinkage estimator; Population

• Source: Journal of Multivariate AnalysisJournal of Multivariate Analysis, Elsevier, 2014, 131, pp.99-120. ⟨10.1016/j.jmva.2014.06.018⟩

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Asymptotic variance–covariance matrix of sample autocorrelations for threshold-asymmetric GARCH processes

• Authors : J. S. Baek; S.Y. Hwang

Subjects: Statistics and Probability; Statistics::Theory; Heteroscedasticity

• Source: Statistics. 43:35-51

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Adaptive covariance matrix estimation through block thresholding

• Authors : Ming Yuan; T. Tony Cai

Subjects: Statistics and Probability; covariance matrix; Covariance matrix

• Source: Ann. Statist. 40, no. 4 (2012), 2014-2042

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FAST AND EXACT SIMULATION OF STATIONARY GAUSSIAN PROCESSES THROUGH CIRCULANT EMBEDDING OF THE COVARIANCE MATRIX.

• Authors : Dietrich, C.R.¹ ; Newsam, G.N.²

• Source: SIAM Journal on Scientific Computing. 1997, Vol. 18 Issue 4, p1088-1107. 20p.

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Quantitative estimates of the convergence of the empirical covariance matrix in Log-concave Ensembles

• Authors : Nicole Tomczak-Jaegermann; Radosław Adamczak; Alain Pajor ...

Subjects: [MATH.MATH-PR] Mathematics [math]/Probability [math.PR]; Multivariate random variable; General Mathematics

• Source: Journal of the American Mathematical SocietyJournal of the American Mathematical Society, American Mathematical Society, 2010, 23, pp.535-561

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Modeling Panel Data: Comparison of GLS Estimation and Robust Covariance Matrix Estimation

• Authors : Victor Muthama Musau; Anthony Wanjoya; Anthony Waititu

Subjects: Heteroscedasticity; Covariance matrix; Autocorrelation

• Source: American Journal of Theoretical and Applied Statistics. 4:185

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Corrections to LRT on large-dimensional covariance matrix by RMT

• Authors : Shurong Zheng; Zhidong Bai; Dandan Jiang ...

Subjects: Statistics and Probability; Pseudolikelihood; Gaussian

• Source: Ann. Statist. 37, no. 6B (2009), 3822-3840The Annals of StatisticsThe Annals of Statistics, IMS, 2009, 37 (6B), pp.3822-3840. 〈10.1214/09-AOS694〉Annals of StatisticsAnnals

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Strong limit of the extreme eigenvalues of a symmetrized auto-cross covariance matrix

• Authors : Zhidong Bai; Matthew Harding; Baisuo Jin

Subjects: Statistics and Probability; order detection; Mathematics - Statistics Theory

• Source: Ann. Appl. Probab. 25, no. 6 (2015), 3624-3683

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On the eigendistribution of the steady-state error covariance matrix for the extended RLS algorithm

• Authors : Vakili, Ali; Familier, Eythan; Hassibi, Babak

Subjects: RLS algorithm; Kalman filter; Stieltjes transform

• Source: IEEE International Conference on Acoustics, Speech and Signal Processing, Taipei, Taiwan, April 19-24, 2009

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Eigenvectors of some large sample covariance matrix ensembles

• Authors : Olivier Ledoit; Sandrine Péché;

Subjects: Statistics and Probability; Population; Identity matrix

• Source: Probability Theory and Related Fields. 151:233-264

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Limiting spectral distribution of a symmetrized auto-cross covariance matrix

• Authors : K. Krishnan Nair; Baisuo Jin; Chen Wang

Subjects: Statistics and Probability; limiting spectral distribution; order detection

• Source: Ann. Appl. Probab. 24, no. 3 (2014), 1199-1225

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Robust Low-Rank Change Detection for Multivariate SAR Image Time Series

• Authors : Ammar Mian; Antoine Collas; Arnaud Breloy

Subjects: Change detection; covariance matrix; compound Gaussian (CG)

• Source: IEEE Journal of Selected Topics in Applied Earth Observations and Remote Sensing, Vol 13, Pp 3545-3556 (2020)

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Data driven modeling in the presence of time series structure: Improved bounds and effective algorithms

• Authors : Mazhar, Othmane, Ph.D. student, 1990;

Subjects: Time series; Non-asymptotic estimation; Minimax

• Source: TRITA-SCI-FOU.

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Limiting spectral distribution of the sample covariance matrix of the windowed array data

• Authors : Saeed Gazor; Ehsan Yazdian; M. H. Bastani

Subjects: Wishart distribution; Estimation of covariance matrices; Theoretical computer science

• Source: EURASIP Journal on Advances in Signal Processing. 2013

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Asymptotic properties of eigenmatrices of a large sample covariance matrix

• Authors : Bai, Z. D.; Liu, H. X.; Wong, W. K.

Subjects: Random matrix; central limit theorems; linear spectral statistics

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OPTIMIZATIONOFTHEINVESTMENT PORTFOLIO BY CONSERVATIVE INVESTORS ; ОПТИМІЗАЦІЯ ІНВЕСТИЦІЙНОГО ПОРТФЕЛЯ КОНСЕРВАТИВНИМИ ІНВЕСТОРАМИ

• Authors : Іваненко, Т. В.; Фартушний, І. Д.

Subjects: bonds; final yield; flow of payments

• Source: Economic Bulletin of National Technical University of Ukraine "Kyiv Polytechnical Institute"; No. 21 (2022): Economic Bulletin of NTUU "Kyiv Polytechnical Institute" ; Экономический

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Robust Low-rank Change Detection for SAR Image Time Series

• Authors : Mian, Ammar; Collas, Antoine; Breloy, Arnaud ...

Subjects: CHANGE DETECTION; SYNTHETIC APERTURE RADAR; TIME SERIES

• Source: ISSN: 1939-1404 ; IEEE Journal of Selected Topics in Applied Earth Observations and Remote Sensing ; https://hal.science/hal-02345330 ; IEEE Journal of Selected Topics in Applied Earth Observations

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Universality results for largest eigenvalues of some sample covariance matrix ensembles

• Authors : Peche, Sandrine;

Subjects: Probability (math.PR); FOS: Mathematics; Mathematics - Statistics Theory

• Source: Probability Theory and Related FieldsProbability Theory and Related Fields, Springer Verlag, 2008, 143 (3,4), pp.481-516

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Asymptotic distributions of functions of the eigenvalues of sample covariance matrix and canonical correlation matrix in multivariate time series

• Authors : Taniguchi, M; Krishnaiah, P.R

Subjects: Statistics and Probability; Pure mathematics; Numerical Analysis

• Source: Journal of Multivariate Analysis. 22(1):156-176

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An Improved Method for Parametric Spatial Spectrum Estimation in Internet of Things

• Authors : Jingya Zhao; Qinghua Zhu; Yong Liu

Subjects: Technology; Signal processing; Article Subject

• Source: Wireless Communications and Mobile Computing, Vol 2021 (2021)

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Various Versatile Variances: An Object-Oriented Implementation of Clustered Covariances in R

• Authors : Susanne Köll; Achim Zeileis; Nathaniel Graham ...

Subjects: Statistics and Probability; Generalized linear model; Covariance matrix

• Source: Journal of Statistical Software, Vol 95, Iss 1, Pp 1-36 (2020)Journal of Statistical Software; Vol 95 (2020); 1-36

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Minimax Estimation of a Normal Mean Vector for Arbitrary Quadratic Loss and Unknown Covariance Matrix

• Authors : Lawrence D. Brown; Michael Bock; George Casella

Subjects: risk function; 62C99; Statistics and Probability

• Source: Ann. Statist. 5, no. 4 (1977), 763-771

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A Pitfall in Using the Characterization of Granger Non-Causality in Vector Autoregressive Models

• Authors : Umberto Triacca

Subjects: covariance matrix; Granger causality; time series

• Source: Econometrics, Vol 3, Iss 2, Pp 233-239 (2015)

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Generalized four moment theorem and an application to CLT for spiked eigenvalues of high-dimensional covariance matrices

• Authors : Dandan Jiang; Zhidong Bai

Subjects: Statistics and Probability; education.field_of_study; generalized four moment theorem

• Source: Bernoulli 27, no. 1 (2021), 274-294

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Portfolio Research Based on Mean-Realized Variance-CVaR and Random Matrix Theory under High-Frequency Data

• Authors : Yipin Zhu; Yajie Yang; Xia Zhao

Subjects: Mathematical optimization; Empirical research; CVAR

• Source: Journal of Financial Risk Management. :480-493

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