Sökning: "Covariance matrix"

Visar resultat 1 - 5 av 63 uppsatser innehållade orden Covariance matrix.

1. 1. A personalized quasi-passive ankleexoskeleton using human-in-the loop optimization approaches

   Master-uppsats, KTH/Skolan för industriell teknik och management (ITM)

   Författare :Ho Ming Kong; [2023]
   Nyckelord :;

   Sammanfattning : Passive ankle exoskeletons have been proven to successfully decrease muscle demand for walking. The movement of the user’s ankle drives a mechanical clutch and spring, which eventually stores and returns mechanical energy to the user. LÄS MER

3. 2. Random matrix theory in machine learning

   Master-uppsats, KTH/Matematik (Avd.)

   Författare :Lina Leopold; [2023]
   Nyckelord :Mathematics; mathematical statistics; machine learning; random matrix theory; neural networks; Matematik; matematisk statistik; maskininlärning; slumpmatristeori; neuronnätverk;

   Sammanfattning : In this thesis, we review some applications of random matrix theory in machine learning and theoretical deep learning. More specifically, we review data modelling in the regime of numerous and large dimensional data, a method for estimating covariance matrix distances in the aforementioned regime, as well as an asymptotic analysis of a simple neural network model in the limit where the number of neurons is large and the data is both numerous and large dimensional. LÄS MER

4. 3. A Multi-Level Extension of the Hierarchical PCA Framework with Applications to Portfolio Construction with Futures Contracts

   Master-uppsats, KTH/Matematisk statistik

   Författare :Kajsa Bjelle; [2023]
   Nyckelord :Portfolio construction; asset allocation; principal component analysis; hierarchical principal component analysis; hierarchical shrinkage; eigenportfolio risk; Portföljkonstruktion; tillgångsallokering; principalkomponentanalys; hierarkisk principalkomponentanalys; hierarkisk krympning; egenportföljrisk;

   Sammanfattning : With an increasingly globalised market and growing asset universe, estimating the market covariance matrix becomes even more challenging. In recent years, there has been an extensive development of methods aimed at mitigating these issues. LÄS MER

5. 4. Dynamic Covariance Modelling Using Generalised Wishart Processes

   Master-uppsats, Lunds universitet/Matematisk statistik

   Författare :Fredrik Nilsson; [2023]
   Nyckelord :Covariance matrix; generalised Wishart process; Bayesian inference; Markov chain Monte Carlo; Hamiltonian Monte Carlo; Mathematics and Statistics;

   Sammanfattning : Modern portfolio theory was pioneered by Markowitz who formulated the mean-variance problem, without which any discussion on quantitative approaches to portfolio selection would be incomplete. The framework boils down to finding the expected return $\mu$ and covariance $\Sigma$, after which the solution is proportional to $\Sigma^{-1}\mu$. LÄS MER

7. 5. The Rational Investor is a Bayesian

   Kandidat-uppsats, KTH/Skolan för teknikvetenskap (SCI)

   Författare :Jiajun Qu; [2022]
   Nyckelord :Portfolio optimization; Mean-variance optimization; Bayesian approach; Linear shrinkage; Black-Litterman; Robust optimization;

   Sammanfattning : The concept of portfolio optimization has been widely studied in the academy and implemented in the financial markets since its introduction by Markowitz 70 years ago. The problem of the mean-variance optimization framework caused by input uncertainty has been one of the foci in the previous research. LÄS MER