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Dynamic Covariance Models for Multivariate Financial Time Series
Dynamic Covariance Models Multivariate Financial Time Series
2013/6/14
The accurate prediction of time-changing covariances is an important problem in the modeling of multivariate financial data. However, some of the most popular models suffer from a) overfitting problem...
Some covariance models based on normal scale mixtures
cross covariance function Gneiting's class rainfall model spatio-temporal model
2011/3/24
Modelling spatio-temporal processes has become an important issue in current research. Since Gaussian processes are essentially determined by their second order structure, broad classes of covariance ...
Nonstationary covariance models for global data
Nonstationary covariance function processes on spheres TOMS ozone data fast Fourier transform
2010/3/17
With the widespread availability of satellite-based instruments,
many geophysical processes are measured on a global scale and they
often show strong nonstationarity in the covariance structure. In ...