𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Asymptotics for REML estimation of spatial covariance parameters

✍ Scribed by Noel Cressie; Soumendra Nath Lahiri


Publisher
Elsevier Science
Year
1996
Tongue
English
Weight
591 KB
Volume
50
Category
Article
ISSN
0378-3758

No coin nor oath required. For personal study only.


πŸ“œ SIMILAR VOLUMES


The asymptotic spectrum of the EWMA cova
✍ Jens Svensson πŸ“‚ Article πŸ“… 2007 πŸ› Elsevier Science 🌐 English βš– 295 KB

The exponentially weighted moving average (EWMA) covariance estimator is a standard estimator for financial time series, and its spectrum can be used for so-called random matrix filtering. Random matrix filtering using the spectrum of the sample covariance matrix is an established tool in finance an