采用EWMA模型预测动态变化的方差-协方差矩阵,从实证的角度得到更精准的动态迁移相关系数矩阵。
Using EWMA to forecast the portfolio's dynamic transferred variance-covariance matrix, we can get more reasonable and precise dynamic transferred coefficient matrix.
然而,目前国内外有关协方差矩阵正定性的研究结果并不多,并且大多是集中在连续型样本协方差矩阵方面。
However, there have been few outcomes about the positive definitiveness of covariance matrix, most of which have been restricted to the Covariance-matrix of continuous sample.
给出了由子矩阵组成的分块矩阵时,随机变量二次型的方差、协方差的计算公式。
The formulas to calculate the variance of a quadratic form with the matrix composed of submatrices are given in this paper.
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