منابع مشابه
Identifiability of Dynamic Stochastic General Equilibrium Models with Covariance Restrictions
This article is concerned with identification problem of parameters of Dynamic Stochastic General Equilibrium Models with emphasis on structural constraints, so that the number of observable variables is equal to the number of exogenous variables. We derived a set of identifiability conditions and suggested a procedure for a thorough analysis of identification at each point in the parameters sp...
متن کاملStochastic Covariance Models∗
A new class of stochastic covariance models based on Wishart distribution is proposed. Three categories of dynamic correlation models are introduced depending on how the timevarying covariance matrix is formulated and whether or not it is a latent variable. A stochastic covariance filter is also developed for filtering and predicting covariances. Extensions of the basic models enable the study ...
متن کاملParametric Covariance Models for Shock - induced Stochastic Processes
A common assumption in the modeling of stochastic processes is that of weak stationarity. Although this is a convenient and sometimes justifiable assumption for many applications, there are other applications for which it is clearly inappropriate. One such application occurs when the process is driven by action at a limited number of sites, or point sources. Interest may lie not only in predict...
متن کاملStochastic Covariance Compression
Covariance matrices are an effective way to capture global spread across local interest points in images. Often, these image descriptors are more compact, robust and informative than, for example, bags of visual words. However, they are symmetric and positive definite (SPD) and therefore live on a non-Euclidean Riemannian manifold, which gives rise to non-Euclidean metrics. These are slow to co...
متن کاملMultilevel covariance component models
Goldstein (1986) describes the analysis of the multilevel mixed effects linear model with random coefficients, where the variance and covariance components have a nested structure across levels. The purpose of the present note is to show how a simple extension to the formulae in that paper can accommodate cross-classifications of the components within any level of the nesting, thus enabling qui...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: JOURNAL OF THE JAPAN STATISTICAL SOCIETY
سال: 2013
ISSN: 1348-6365,1882-2754
DOI: 10.14490/jjss.43.127