Matches in DBpedia 2015-10 for { <http://dbpedia.org/resource/Estimation_of_covariance_matrices> ?p ?o }
- Estimation_of_covariance_matrices abstract "In statistics, sometimes the covariance matrix of a multivariate random variable is not known but has to be estimated. Estimation of covariance matrices then deals with the question of how to approximate the actual covariance matrix on the basis of a sample from the multivariate distribution. Simple cases, where observations are complete, can be dealt with by using the sample covariance matrix. The sample covariance matrix (SCM) is an unbiased and efficient estimator of the covariance matrix if the space of covariance matrices is viewed as an extrinsic convex cone in Rp×p; however, measured using the intrinsic geometry of positive-definite matrices, the SCM is a biased and inefficient estimator. In addition, if the random variable has normal distribution, the sample covariance matrix has Wishart distribution and a slightly differently scaled version of it is the maximum likelihood estimate. Cases involving missing data require deeper considerations. Another issue is the robustness to outliers: "Sample covariance matrices are extremely sensitive to outliers".Statistical analyses of multivariate data often involve exploratory studies of the way in which the variables change in relation to one another and this may be followed up by explicit statistical models involving the covariance matrix of the variables. Thus the estimation of covariance matrices directly from observational data plays two roles: to provide initial estimates that can be used to study the inter-relationships; to provide sample estimates that can be used for model checking.Estimates of covariance matrices are required at the initial stages of principal component analysis and factor analysis, and are also involved in versions of regression analysis that treat the dependent variables in a data-set, jointly with the independent variable as the outcome of a random sample.".
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- Estimation_of_covariance_matrices wikiPageRevisionID "680312980".
- Estimation_of_covariance_matrices wikiPageWikiLink Bayesian_inference.
- Estimation_of_covariance_matrices wikiPageWikiLink Bayesian_method.
- Estimation_of_covariance_matrices wikiPageWikiLink Bias_of_an_estimator.
- Estimation_of_covariance_matrices wikiPageWikiLink Biased_estimator.
- Estimation_of_covariance_matrices wikiPageWikiLink Category:Estimation_for_specific_parameters.
- Estimation_of_covariance_matrices wikiPageWikiLink Category:Statistical_deviation_and_dispersion.
- Estimation_of_covariance_matrices wikiPageWikiLink Complex_number.
- Estimation_of_covariance_matrices wikiPageWikiLink Convex_combination.
- Estimation_of_covariance_matrices wikiPageWikiLink Convex_cone.
- Estimation_of_covariance_matrices wikiPageWikiLink Covariance.
- Estimation_of_covariance_matrices wikiPageWikiLink Covariance_matrix.
- Estimation_of_covariance_matrices wikiPageWikiLink Cross-covariance.
- Estimation_of_covariance_matrices wikiPageWikiLink Cross-validation_(statistics).
- Estimation_of_covariance_matrices wikiPageWikiLink Dependent_and_independent_variables.
- Estimation_of_covariance_matrices wikiPageWikiLink Dependent_variable.
- Estimation_of_covariance_matrices wikiPageWikiLink Determinant.
- Estimation_of_covariance_matrices wikiPageWikiLink Diagonal_matrix.
- Estimation_of_covariance_matrices wikiPageWikiLink Differential_geometry.
- Estimation_of_covariance_matrices wikiPageWikiLink Digamma_function.
- Estimation_of_covariance_matrices wikiPageWikiLink Efficiency_(statistics).
- Estimation_of_covariance_matrices wikiPageWikiLink Estimation_theory.
- Estimation_of_covariance_matrices wikiPageWikiLink Estimator.
- Estimation_of_covariance_matrices wikiPageWikiLink Estimator_bias.
- Estimation_of_covariance_matrices wikiPageWikiLink Expected_value.
- Estimation_of_covariance_matrices wikiPageWikiLink Exponential_map_(Lie_theory).
- Estimation_of_covariance_matrices wikiPageWikiLink Factor_analysis.
- Estimation_of_covariance_matrices wikiPageWikiLink First_order_condition.
- Estimation_of_covariance_matrices wikiPageWikiLink Identity_matrix.
- Estimation_of_covariance_matrices wikiPageWikiLink Independence_(probability_theory).
- Estimation_of_covariance_matrices wikiPageWikiLink Independent_variable.
- Estimation_of_covariance_matrices wikiPageWikiLink Intrinsic_bias.
- Estimation_of_covariance_matrices wikiPageWikiLink Invertible_matrix.
- Estimation_of_covariance_matrices wikiPageWikiLink James–Stein_estimator.
- Estimation_of_covariance_matrices wikiPageWikiLink Joint_probability_distribution.
- Estimation_of_covariance_matrices wikiPageWikiLink Likelihood_function.
- Estimation_of_covariance_matrices wikiPageWikiLink Linear_algebra.
- Estimation_of_covariance_matrices wikiPageWikiLink Logarithm_of_a_matrix.
- Estimation_of_covariance_matrices wikiPageWikiLink MATLAB.
- Estimation_of_covariance_matrices wikiPageWikiLink Matrix_calculus.
- Estimation_of_covariance_matrices wikiPageWikiLink Matrix_exponential.
- Estimation_of_covariance_matrices wikiPageWikiLink Matrix_logarithm.
- Estimation_of_covariance_matrices wikiPageWikiLink Maximum_likelihood.
- Estimation_of_covariance_matrices wikiPageWikiLink Maximum_likelihood_estimate.
- Estimation_of_covariance_matrices wikiPageWikiLink Missing_at_random.
- Estimation_of_covariance_matrices wikiPageWikiLink Missing_data.
- Estimation_of_covariance_matrices wikiPageWikiLink Missing_values.
- Estimation_of_covariance_matrices wikiPageWikiLink Multivariate_normal_distribution.
- Estimation_of_covariance_matrices wikiPageWikiLink Multivariate_random_variable.
- Estimation_of_covariance_matrices wikiPageWikiLink Normal_distribution.
- Estimation_of_covariance_matrices wikiPageWikiLink Observed_value.
- Estimation_of_covariance_matrices wikiPageWikiLink Order_condition.
- Estimation_of_covariance_matrices wikiPageWikiLink Outlier.
- Estimation_of_covariance_matrices wikiPageWikiLink Pearson_product-moment_correlation_coefficient.
- Estimation_of_covariance_matrices wikiPageWikiLink Positive-definite_matrix.
- Estimation_of_covariance_matrices wikiPageWikiLink Precision_(statistics).
- Estimation_of_covariance_matrices wikiPageWikiLink Precision_matrix.
- Estimation_of_covariance_matrices wikiPageWikiLink Principal_component_analysis.
- Estimation_of_covariance_matrices wikiPageWikiLink Probability_density_function.
- Estimation_of_covariance_matrices wikiPageWikiLink Propagation_of_uncertainty.
- Estimation_of_covariance_matrices wikiPageWikiLink Python_(programming_language).
- Estimation_of_covariance_matrices wikiPageWikiLink Python_programming_language.
- Estimation_of_covariance_matrices wikiPageWikiLink R_(programming_language).
- Estimation_of_covariance_matrices wikiPageWikiLink R_programming_language.
- Estimation_of_covariance_matrices wikiPageWikiLink Random_variable.
- Estimation_of_covariance_matrices wikiPageWikiLink Random_vector.
- Estimation_of_covariance_matrices wikiPageWikiLink Realization_(probability).
- Estimation_of_covariance_matrices wikiPageWikiLink Regression_analysis.
- Estimation_of_covariance_matrices wikiPageWikiLink Riemann_curvature_tensor.
- Estimation_of_covariance_matrices wikiPageWikiLink Riemannian_curvature.
- Estimation_of_covariance_matrices wikiPageWikiLink Riemannian_manifold.
- Estimation_of_covariance_matrices wikiPageWikiLink Robust_statistics.
- Estimation_of_covariance_matrices wikiPageWikiLink Sample_(statistics).
- Estimation_of_covariance_matrices wikiPageWikiLink Sample_covariance_matrix.
- Estimation_of_covariance_matrices wikiPageWikiLink Sample_mean.
- Estimation_of_covariance_matrices wikiPageWikiLink Sample_mean_and_covariance.
- Estimation_of_covariance_matrices wikiPageWikiLink Sample_mean_and_sample_covariance.
- Estimation_of_covariance_matrices wikiPageWikiLink Scalar_(mathematics).
- Estimation_of_covariance_matrices wikiPageWikiLink Scatter_matrix.
- Estimation_of_covariance_matrices wikiPageWikiLink Single-index_model.
- Estimation_of_covariance_matrices wikiPageWikiLink Singular_matrix.
- Estimation_of_covariance_matrices wikiPageWikiLink Spectral_theorem.
- Estimation_of_covariance_matrices wikiPageWikiLink Stationary_process.
- Estimation_of_covariance_matrices wikiPageWikiLink Statistical_independence.
- Estimation_of_covariance_matrices wikiPageWikiLink Statistics.
- Estimation_of_covariance_matrices wikiPageWikiLink Symmetric_space.
- Estimation_of_covariance_matrices wikiPageWikiLink Tangent_space.
- Estimation_of_covariance_matrices wikiPageWikiLink Trace_(linear_algebra).
- Estimation_of_covariance_matrices wikiPageWikiLink Trace_(matrix).
- Estimation_of_covariance_matrices wikiPageWikiLink Unbiased_estimator.
- Estimation_of_covariance_matrices wikiPageWikiLink Variance.
- Estimation_of_covariance_matrices wikiPageWikiLink Vector_field.
- Estimation_of_covariance_matrices wikiPageWikiLink Vector_space.
- Estimation_of_covariance_matrices wikiPageWikiLink Wide-sense_stationary.
- Estimation_of_covariance_matrices wikiPageWikiLink Wishart_distribution.