Probing the covariance matrix

MaRDI QIDQ5208319zbMATH OpenFDO

Authors Kenneth M. Hanson

Publication date 15 January 2020

zbMATH Keywords

covariance matrix estimationexternal forceposterior stiffnessprobability potentialprobing the posterior

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Estimation in multivariate analysis (62H12) Analysis of variance and covariance (ANOVA) (62J10) Applications of statistics to physics (62P35)

Recommendations

• Covariance Matrices for Parameter Estimates of Constrained Parameter Estimation Problems
• Fast algorithms for Bayesian uncertainty quantification in large-scale linear inverse problems based on low-rank partial Hessian approximations
• Bayesian inference for a covariance matrix
• Uncertainty estimation in equality-constrained MAP and maximum likelihood estimation with applications to system identification and state estimation
• The variational form of certain Bayes estimators

Cited in

(3)

• Limitations on detecting row covariance in the presence of column covariance
• Signed spectral Turań-type theorems
• Calculation of Hessian under constraints with applications to Bayesian system identification

This page was built for publication: Probing the covariance matrix

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5208319)