Jump robust daily covariance estimation by disentangling variance and correlation components.
Kris BoudtJonathan CornelissenChristophe CrouxPublished in: Comput. Stat. Data Anal. (2012)
Keyphrases
- estimation error
- robust estimation
- covariance matrix
- correlation coefficient
- estimation accuracy
- robust regression
- building blocks
- computer vision
- correlation matrix
- robust estimator
- parameter tuning
- accurate estimation
- neural network
- computationally efficient
- partial occlusion
- trade off
- highly correlated
- localization method
- database