Essays about: "Covariance matrix"

Showing result 11 - 15 of 55 essays containing the words Covariance matrix.

  1. 11. Improvement of an existing Integrated Vehicle Dynamics Control System influencing an urban electric car

    University essay from KTH/Flygdynamik

    Author : Arihant Sureka; [2020]
    Keywords : model predicitve control; MPCA; vehicle dynamics; Single track model; Rear wheel steering; kalametric; state estimation; design matrix; aliasing; kalman filter; projectionalgorithm; resolution; model predicitve control; MPCA; kalametric; tillståndsestimering; designmatris; vikningsdistorsion; kalmanfilter; projection algorithm; upplösning;

    Abstract : 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

  3. 12. A Review of Gaussian Random Matrices

    University essay from Linköpings universitet/Matematisk statistik; Linköpings universitet/Tekniska fakulteten

    Author : Kasper Andersson; [2020]
    Keywords : Random Matrix Theory; Gaussian Ensembles; Covariance; Wishart Ensembles; PCA; Neural Networks; Slumpmatristeori; Gaussian Ensembles; Kovarians; Wishart Ensembles; PCA; Neuronnät;

    Abstract : While many university students get introduced to the concept of statistics early in their education, random matrix theory (RMT) usually first arises (if at all) in graduate level classes. This thesis serves as a friendly introduction to RMT, which is the study of matrices with entries following some probability distribution. READ MORE

  4. 13. Swedish Interest Rate Curve Dynamics Using Artificial Neural Networks

    University essay from KTH/Matematisk statistik

    Author : Richard Spånberg; Billy Wallander; [2020]
    Keywords : Artificial Neural Network; Yield curve; PCA; Financial Mathematics; Neurala Nätverk; Avkastningskurva; PCA; Finansiell Matematik;

    Abstract : This thesis is a comparative study where the question is whether a neural network approach can outperform the principal component analysis (PCA) approach for predicting changes of interest rate curves. Today PCA is the industry standard model for predicting interest rate curves. READ MORE

  5. 14. Testing Structure of Covariance Matrix under High-dimensional Regime

    University essay from Linköpings universitet/Statistik och maskininlärning

    Author : Jiawei Wu; [2020]
    Keywords : Covariance matrix; Structure test; High-dimension data; Outliers; Significance level; Power of test; Goodness of fit test;

    Abstract : Statisticians are interested in testing the structure of covariance matrices, especially under the high-dimensional scenario in which the dimensionality of data matrices exceeds the sample size. Many test statistics have been introduced to test whether the covariance matrix is equal to identity structure (), sphericity structure () or diagonal structure (). READ MORE

  6. 15. Covariance Matrix Regularization for Portfolio Selection: Achieving Desired Risk

    University essay from Lunds universitet/Matematisk statistik

    Author : Manu Upadhyaya; [2020]
    Keywords : covariance matrix; portfolio selection; risk; Mathematics and Statistics;

    Abstract : The modus operandi of most asset managers is to promise clients an annual risk target, where risk is measured by realized standard deviation of portfolio returns. Moreover, Markowitz (1952) portfolio selection requires an estimate of the covariance matrix of the returns of the financial instruments under consideration. READ MORE