2019
DOI: 10.33243/2313-7010-26-47-60
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V. SKACHKOV

Abstract: The problem of forming sample estimates of the correlation matrix of observations that satisfy the criterion "computational stability – consistency" is considered. The variants in which the direct and inverse asymptotic forms of the correlation matrix of observations are approximated by various types of estimates formed from a sample of a fixed volume are investigated. The consistency of computationally stable estimates of the correlation matrix for their static regularization was analyzed. The contradiction i…

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