Partition-Based Nonstationary Covariance Estimation Using the Stochastic Score Approximation.
Amanda MuyskensJoseph GuinnessMontserrat FuentesPublished in: J. Comput. Graph. Stat. (2022)
Keyphrases
- non stationary
- fractional brownian motion
- markov processes
- discrete random variables
- adaptive algorithms
- random fields
- instantaneous frequency
- empirical mode decomposition
- log likelihood function
- stock price
- approximation schemes
- stage stochastic programs
- gaussian markov random fields
- marginal likelihood
- autoregressive
- concept drift
- blind source separation
- image segmentation
- parameter estimation
- maximum likelihood
- wavelet transform
- support vector machine
- multiresolution