More on explicit estimators of covariance matrices with linear structure

Orador: Martin Singull, Department of Mathematics, Linköping University,


Data: 23 fevereiro 2017 (5ª feira)

Hora: 14h00

Local: Sala de Seminários - Edifício VII, FCT-UNL



In this talk we will discuss the problem of estimating parameters of a multivariate normal p-dimensional random vector for different linear covariance structures, e.g., banded (reflecting m-dependence), intraclass, Toeplitz and circular Toeplitz, and how to estimate them using different methods, e.g., by minimizing different norms. One way to estimate the parameters in a linear covariance structure is to use tapering or generalized tapering, which has been shown to be the solution to a universal least squares problem. We know that tapering not always guarantee the positive definite constraints on the estimated covariance matrix and may not be a suitable method. We propose some new methods and try to understand when the positive definiteness is preserved and the estimator can be used for testing.


Financiado através do projeto UID/MAT/00297/2013.