Intuitive covariation estimation

Estimation of Gradients and Coordinate Covariation in Classification

We introduce an algorithm that simultaneously estimates a classification function as well as its gradient in the supervised learning framework. The motivation for the algorithm is to find salient variables and estimate how they covary. An efficient implementation with respect to both memory and time is given. The utility of the algorithm is illustrated on simulated data as well as a gene expres...

Estimation of integrated quadratic covariation with endogenous sampling times

When estimating high-frequency covariance (quadratic covariation) of two arbitrary assets observed asynchronously, simple assumptions, such as independence, are usually imposed on the relationship between the prices process and the observation times. In this paper, we introduce a general endogenous two-dimensional nonparametric model. Because an observation is generated whenever an auxiliary pr...

An Intuitive Approach to Inertial Sensor Bias Estimation

A simple approach to gyro and accelerometer bias estimation is proposed. It does not involve Kalman filtering or similar formal techniques. Instead, it is based on physical intuition and exploits a duality between gimbaled and strapdown inertial systems. The estimation problem is decoupled into two separate stages. At the first stage, inertial system attitude errors are corrected by means of a ...

Beyond Covariation 1 Beyond covariation: Cues to causal structure

Disambiguating Different Covariation Types

Covariations in neuronal latency or excitability can lead to peaks in spike train covariograms that may be very similar to those caused by spike timing synchronization (see companion article). Two quantitative methods are described here. The first is a method to estimate the excitability component of a covariogram, based on trial-by-trial estimates of excitability. Once estimated, this componen...