Maximum likelihood estimation of covariance matrices with constraints on the efficient frontier

International Journal of Computational Economics and Econometrics ◽

10.1504/ijcee.2016.073352 ◽

2016 ◽

Vol 6 (1) ◽

pp. 71

Author(s):

Hilal Yilmaz ◽

Neil D. Pearson

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Efficient Frontier ◽

Likelihood Estimation ◽

Covariance Matrices

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Restricted maximum likelihood estimation of genetic principal components and smoothed covariance matrices

Genetics Selection Evolution ◽

10.1186/1297-9686-37-1-1 ◽

2005 ◽

Vol 37 (1) ◽

pp. 1 ◽

Author(s):

Karin Meyer ◽

Mark Kirkpatrick

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Principal Components ◽

Likelihood Estimation ◽

Restricted Maximum Likelihood ◽

Covariance Matrices ◽

Restricted Maximum Likelihood Estimation

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Rank-Constrained Maximum Likelihood Estimation of Structured Covariance Matrices

IEEE Transactions on Aerospace and Electronic Systems ◽

10.1109/taes.2013.120389 ◽

2014 ◽

Vol 50 (1) ◽

pp. 501-515 ◽

Author(s):

Bosung Kang ◽

Vishal Monga ◽

Muralidhar Rangaswamy

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Likelihood Estimation ◽

Covariance Matrices ◽

Constrained Maximum Likelihood Estimation ◽

Constrained Maximum Likelihood

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Application of Maximum Likelihood Estimation of Persymmetric Covariance Matrices to Adaptive Processing

IEEE Transactions on Aerospace and Electronic Systems ◽

10.1109/taes.1980.308887 ◽

1980 ◽

Vol AES-16 (1) ◽

pp. 124-127 ◽

Author(s):

Ramon Nitzberg

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Likelihood Estimation ◽

Covariance Matrices ◽

Adaptive Processing

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Penalized maximum-likelihood estimation of covariance matrices with linear structure

IEEE Transactions on Signal Processing ◽

10.1109/78.650262 ◽

1997 ◽

Vol 45 (12) ◽

pp. 3027-3038 ◽

Author(s):

T.J. Schulz

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Likelihood Estimation ◽

Linear Structure ◽

Covariance Matrices ◽

Penalized Maximum Likelihood ◽

Penalized Maximum Likelihood Estimation

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Computationally efficient maximum-likelihood estimation of structured covariance matrices

Proceedings of the 1998 IEEE International Conference on Acoustics, Speech and Signal Processing, ICASSP '98 (Cat. No.98CH36181) ◽

10.1109/icassp.1998.681615 ◽

2002 ◽

Author(s):

Hongbin Li ◽

P. Stoica ◽

Jian Li

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Likelihood Estimation ◽

Covariance Matrices ◽

Computationally Efficient

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The relation between maximum likelihood estimation of structured covariance matrices and periodograms

IEEE Transactions on Acoustics Speech and Signal Processing ◽

10.1109/tassp.1986.1164969 ◽

1986 ◽

Vol 34 (6) ◽

pp. 1661-1662 ◽

Author(s):

A. Dembo

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Likelihood Estimation ◽

Covariance Matrices

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Cramér-Rao Bound and Maximum Likelihood Estimation of Covariance Matrices With Non-Homogeneous Snapshots

2007 Conference Record of the Forty-First Asilomar Conference on Signals, Systems and Computers ◽

10.1109/acssc.2007.4487634 ◽

2007 ◽

Author(s):

Olivier Besson ◽

Stephanie Bidon ◽

Jean-Yves Yourneret

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Likelihood Estimation ◽

Covariance Matrices ◽

Cramer Rao Bound

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Maximum likelihood estimation of structured persymmetric covariance matrices

Signal Processing ◽

10.1016/s0165-1684(02)00450-4 ◽

2003 ◽

Vol 83 (3) ◽

pp. 633-640 ◽

Author(s):

Antonio De Maio

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Likelihood Estimation ◽

Covariance Matrices

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Maximum likelihood estimation of noise covariance matrices for state estimation of autonomous hybrid systems

Computers & Chemical Engineering ◽

10.1016/j.compchemeng.2016.07.010 ◽

2016 ◽

Vol 94 ◽

pp. 28-44 ◽

Author(s):

Vinay A. Bavdekar ◽

Naresh N. Nandola ◽

Sachin C. Patwardhan

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

State Estimation ◽

Hybrid Systems ◽

Likelihood Estimation ◽

Covariance Matrices ◽

Noise Covariance

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Multilevel maximum likelihood estimation with application to covariance matrices

Communication in Statistics- Theory and Methods ◽

10.1080/03610926.2017.1422755 ◽

2018 ◽

Vol 48 (4) ◽

pp. 909-925

Author(s):

Marie Turčičová ◽

Jan Mandel ◽

Kryštof Eben

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Likelihood Estimation ◽

Covariance Matrices

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