Essays about: "Covariance matrix estimation"
Showing result 1 - 5 of 26 essays containing the words Covariance matrix estimation.
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1. The Rational Investor is a Bayesian
University essay from KTH/Skolan för teknikvetenskap (SCI)Abstract : The concept of portfolio optimization has been widely studied in the academy and implemented in the financial markets since its introduction by Markowitz 70 years ago. The problem of the mean-variance optimization framework caused by input uncertainty has been one of the foci in the previous research. READ MORE
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2. Jointly Ego Motion and Road Geometry Estimation for Advanced Driver Assistance Systems
University essay from Linköpings universitet/ReglerteknikAbstract : For several years, there has been a remarkable increase in efforts to develop an autonomous car. Autonomous car systems combine various techniques of recognizing the environment with the help of the sensors and could drastically bring down the number of accidents on road by removing human conduct errors related to driver inattention and poor driving choices. READ MORE
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3. A small sample study of some sandwich estimators to handle heteroscedasticity
University essay from Uppsala universitet/Statistiska institutionenAbstract : This simulation study sets out to investigate Heteroscedasticity-Consistent Covariance Matrix Estimation using the sandwich method in relatively small sample sizes. The different estimators are evaluated on how accurately they assign confidence intervals around a fixed, true coefficient, in the presence of random sampling and both homo- and heteroscedasticity. READ MORE
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4. The Black-Litterman Model: An Investigation of Confidence
University essay from Lunds universitet/Nationalekonomiska institutionenAbstract : This paper examines Idzorek’s extension of the Black-Litterman model with respect to confidence levels and makes a general comparison with the Canonical Reference Model. To test Idzorek’s method a global equities portfolio is constructed using assets representing nine different countries consisting in total of 80. READ MORE
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5. Improvement of an existing Integrated Vehicle Dynamics Control System influencing an urban electric car
University essay from KTH/FlygdynamikAbstract : The Integrated Vehicle Dynamics Control (IVDC) concept can influence the vehicle behaviour both longitudinally and laterally with just one upper level control concept and further lower level controllers. This demands for state estimation of the vehicle which also includes estimating parameters of interest for the vehicle dynamicist. READ MORE