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Found 5 papers, 3 papers with code
Lag selection and estimation of stable parameters for multiple autoregressive processes through convex programming
We prove that the estimated process is stable, and we establish rates for the forecasting error that can outmatch the known rate in our setting.
VC-PCR: A Prediction Method based on Supervised Variable Selection and Clustering
Sparse linear prediction methods suffer from decreased prediction accuracy when the predictor variables have cluster structure (e. g. there are highly correlated groups of variables).
Intrinsic wavelet regression for surfaces of Hermitian positive definite matrices
Second, we derive the wavelet coefficient decay and linear wavelet thresholding convergence rates of intrinsically smooth surfaces of Hermitian positive definite matrices, and investigate practical nonlinear thresholding of wavelet coefficients based on their trace in the context of intrinsic signal plus noise models in the Riemannian manifold.
Methodology 62M15, 62G08
Intrinsic data depth for Hermitian positive definite matrices
Nondegenerate covariance, correlation and spectral density matrices are necessarily symmetric or Hermitian and positive definite.
Methodology 62G30, 62G15, 62G35, 62M15
Intrinsic wavelet regression for curves of Hermitian positive definite matrices
Our main contribution is the development of intrinsic wavelet transforms and nonparametric wavelet regression for curves in the non-Euclidean space of Hermitian positive definite matrices.
Methodology 62M15, 62G08
