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Least-squares covariance matrix adjustment
Symmetric matrices linear equations inequalities the original matrix
2015/8/10
We consider the problem of finding the smallest adjustment to a given symmetric n by n matrix, as measured by the Euclidean or Frobenius norm, so that it satisfies some given linear equalities and ine...
Asymptotic properties of robust complex covariance matrix estimates
Asymptotic properties robust complex covariance matrix estimates
2012/11/22
In many statistical signal processing applications, the estimation of nuisance parameters and parameters of interest is strongly linked to the resulting performance. Generally, these applications deal...
Sharp bounds on the rate of convergence of the empirical covariance matrix
Sharp bounds rate of convergence empirical covariance matrix
2011/1/17
Let X1, . . . ,XN ∈ Rn be independent centered random vectors with log-concave distribution and with the identity as covariance matrix.
Testing a normal covariance matrix for small samples with monotone missing data
monotone missing data Bellman gamma distribution
2010/9/17
We consider samples with monotone missing data, drawn from a normal population to test if the covariance matrix is equal to a given positive definite matrix. We propose an imputation procedure for the...