Essays about: "covariance matrix"
Showing result 1 - 5 of 55 essays containing the words covariance matrix.
-
1. A personalized quasi-passive ankleexoskeleton using human-in-the loop optimization approaches
University essay from KTH/Skolan för industriell teknik och management (ITM)Abstract : Passive ankle exoskeletons have been proven to successfully decrease muscle demand for walking. The movement of the user’s ankle drives a mechanical clutch and spring, which eventually stores and returns mechanical energy to the user. READ MORE
-
2. Random matrix theory in machine learning
University essay from KTH/Matematik (Avd.)Abstract : In this thesis, we review some applications of random matrix theory in machine learning and theoretical deep learning. More specifically, we review data modelling in the regime of numerous and large dimensional data, a method for estimating covariance matrix distances in the aforementioned regime, as well as an asymptotic analysis of a simple neural network model in the limit where the number of neurons is large and the data is both numerous and large dimensional. READ MORE
-
3. A Multi-Level Extension of the Hierarchical PCA Framework with Applications to Portfolio Construction with Futures Contracts
University essay from KTH/Matematisk statistikAbstract : With an increasingly globalised market and growing asset universe, estimating the market covariance matrix becomes even more challenging. In recent years, there has been an extensive development of methods aimed at mitigating these issues. READ MORE
-
4. Dynamic Covariance Modelling Using Generalised Wishart Processes
University essay from Lunds universitet/Matematisk statistikAbstract : Modern portfolio theory was pioneered by Markowitz who formulated the mean-variance problem, without which any discussion on quantitative approaches to portfolio selection would be incomplete. The framework boils down to finding the expected return $\mu$ and covariance $\Sigma$, after which the solution is proportional to $\Sigma^{-1}\mu$. READ MORE
-
5. 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
