Open AccessSome Algorithms for the Conditional Mean Vector and Covariance Matrix
Author(s) -
John F. Monahan
Publication year - 2006
Publication title -
journal of statistical software
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 7.636
H-Index - 145
ISSN - 1548-7660
DOI - 10.18637/jss.v016.i08
Subject(s) - covariance matrix , conditional probability distribution , computation , algorithm , covariance , matrix (chemical analysis) , cma es , computer science , conditional expectation , estimation of covariance matrices , mathematics , conditional variance , mathematical optimization , statistics , autoregressive conditional heteroskedasticity , econometrics , volatility (finance) , materials science , composite material