This paper presents a parameter covariance matrix estimator which is consistent even when the disturbances of a linear regression model are heteroskedastic. This estimator does not depend on a formal model of the structure of the heteroskedasticity. By comparing the elements of the new estimator

Non-negative matrix factorization (NMF) has previously been shown to be a useful decomposition for multivariate data. Two different multiplicative algorithms for NMF are analyzed. They differ only slightly in the multiplicative factor used in the update rules. One algorithm can be shown

covariance equation are avoided because storage and evolution of the error covariance matrix itself are not needed. The results are also better than what is provided by the extended Kalman filter since there is no closure problem and the quality of the forecast error statistics therefore improves. The method

The pattern of zero entries in the inverse covariance matrix of a multivariate normal distribution corresponds to conditional independence restrictions between variables. Covariance selection aims at estimating those structural zeros from data. We show that neighborhood selection with the Lasso

A nonlinear differential equation of the Riccati type is derived for the covariance matrix of the optimal filtering error. The solution of this "variance equation " completely specifies the optimal filter for either finite or infinite smoothing intervals and stationary or nonstationary

independent matrices: a T T isotropically distributed unitary matrix times a certain T M random matrix that is diagonal, real, and nonnegative. This result enables us to determine capacity for many interesting cases. We conclude that, for a fixed number of antennas, as the length of the coherence interval

into account the auto-correlation of the data) works well when the number of states is large enough. Two corrections based on asymptotic approximation of the variance-covariance matrix work well for moderate numbers of states and one correction that collapses the time series information into a “pre” and “post

Let x �1 � denote the square of the largest singular value of an n × p matrix X, all of whose entries are independent standard Gaussian variates. Equivalently, x �1 � is the largest principal component variance of the covariance matrix X ′ X, or the largest eigenvalue of a p-variate Wishart

The minimum covariance determinant (MCD) method of Rousseeuw (1984) is a highly robust estimator of multivariate location and scatter. Its objective is to find h observations (out of n) whose covariance matrix has the lowest determinant. Until now applications of the MCD were hampered

-consistent with the asymptotically singular covariance matrix, and the ARDL-based estimators of the long-run coe¢cients are super-consistent, and valid inferences on the long-run parameters can be made using standard normal asymptotic theory. The paper also examines the relationship between the ARDL procedure and the fully modi…ed