Concept

Estimation of covariance matrices

Related publications (141)

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Institute of Electrical and Electronics Engineers2017

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Royal Society of Chemistry2017

Evaluation of ICA-Based ICTD for PolSAR Data Analysis Using a Sliding Window Approach: Convergence Rate, Gaussian Sources, and Spatial Correlation

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Polarimetric incoherent target decomposition aims at accessing physical parameters of illuminated scatters through the analysis of the target coherence or covariance matrix. In this framework, independent component analysis (ICA) was recently proposed as a ...

Institute of Electrical and Electronics Engineers2016

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2016

Multi-Period Portfolio Optimization: Translation of Autocorrelation Risk to Excess Variance

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Growth-optimal portfolios are guaranteed to accumulate higher wealth than any other investment strategy in the long run. However, they tend to be risky in the short term. For serially uncorrelated markets, similar portfolios with more robust guarantees hav ...

2016

Optimal acoustic rake receiver

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An acoustic processing method for M acoustic receivers comprising the steps of: Determining a beamforming weight vector with M weights for the M acoustic receivers based on at least one the steering vector of at least one real acoustic source, on steering ...

2016

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We consider a setup in which confidential i.i.d. samples X1, ..., Xn from an unknown discrete distribution PX are passed through a discrete memoryless privatization channel (a.k.a. mechanism) which guarantees an epsilon-level of local differential privacy. ...

Ieee2016

A Multi Level Monte Carlo Method with Control Variate for elliptic PDEs with log-normal coefficients

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We consider the numerical approximation of the stochastic Darcy problem with log-normal permeability field and propose a novel Multi Level Monte Carlo (MLMC) approach with a control variate variance reduction technique on each level. We model the log-perme ...

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We investigate smooth approximations of functions, with prescribed gradient behavior on a distinguished stratified subset of the domain. As an application, we outline how our results yield important consequences for a recently introduced class of stochasti ...

Amer Mathematical Soc2015

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