How Does Covariance Affect Portfolio Risk and Return?
Reviewed by Andy Smith Fact checked by Vikki Velasquez Covariance is a statistical measure of how two assets move in relation to each other. It provides diversification and reduces the overall ...
Investopedia1 个月
How Does Covariance Affect Portfolio Risk and Return?
Covariance is a statistical measure of how two assets move in relation to each other. It provides diversification and reduces the overall volatility of a portfolio. A positive covariance indicates ...
Cambridge University Press3 个月
Large Sample Covariance Matrices and High-Dimensional Data Analysis
Dobriban, Edgar 2015. Efficient computation of limit spectra of sample covariance matrices. Random Matrices: Theory and Applications, Vol. 04, Issue. 04, p. 1550019.
Simon Fraser University7 年
Parameter Covariance Matrix
where nused is the number of non-missing observations and np is the number of estimable parameters. The standard error reported for the parameters is the sqrt of the ...
Assessing synchronized activity in the human brain through frequency-dependent covariance ...
This year is the centennial anniversary of German psychiatrist Hans Berger's invention of electroencephalography (EEG), a way ...
Cambridge University Press3 个月
Large Sample Covariance Matrices and High-Dimensional Data Analysis
Robert Stelzer, MathSciNet 'This book deals with the analysis of covariance matrices under two different assumptions: large-sample theory and high-dimensional-data theory. While the former approach is ...
Medical Xpress25 天
Assessing synchronized activity in the human brain through frequency-dependent covariance ...
In particular, they used a "covariance matrix" to flesh out patterns within the data using a statistical technique called principal-component analysis (PCA). PCA is a widely used technique to ...
Simon Fraser University7 年
Generalized Estimating Equations
This is the GEE equivalent of the inverse of the Fisher information matrix that is often used in generalized linear models as an estimator of the covariance estimate of the maximum likelihood ...
Investopedia28 天
Parametric Method in Value at Risk (VaR): Definition and Examples
The parametric method, also known as the variance-covariance method, is a risk management technique for calculating the VaR of a portfolio of assets that first identifies the mean, or expected ...
JSTOR4 年
Methane fluxes from a small boreal lake measured with the eddy covariance method
Limnology and Oceanography Vol. 61, No. S1, 2016 Methane fluxes from a small boreal lake ... Methane fluxes from a small boreal lake measured with the eddy covariance method This is the metadata ...
Engineering360 News6 年
Chapter 6: Direct Inversion of the Sample Covariance Matrix
Adaptive control of sensor arrays with the popular maximum SNR or LMS algorithms may well result in slow adaptive weight vector convergence (depending on the eigenvalues of the noise covariance matrix ...