Related papers: Completing correlation matrices
Extensions of earlier algorithms and enhanced visualization techniques for approximating a correlation matrix are presented. The visualization problems that result from using column or colum--and--row adjusted correlation matrices, which…
Imprecise probability is concerned with uncertainty about which probability distributions to use. It has applications in robust statistics and machine learning. We look at programming language models for imprecise probability. Our…
A positive definite completion problem pertains to determining whether the unspecified positions of a partial (or incomplete) matrix can be completed in a desired subclass of positive definite matrices. In this paper we study an important…
This research article suggests that there are significant benefits in exposing demand planners to forecasting methods using matrix completion techniques. This study aims to contribute to a better understanding of the field of forecasting…
The entanglement-sharing properties of an infinite spin-chain are studied when the state of the chain is a pure, translation-invariant state with a matrix-product structure. We study the entanglement properties of such states by means of…
The properties of q-dependent cross-correlation matrices of stock market have been analyzed by using the random matrix theory and complex network. The correlation structures of the fluctuations at different magnitudes have unique…
We consider the correlation functions of eigenvalues of a unidimensional chain of large random hermitian matrices. An asymptotic expression of the orthogonal polynomials allows to find new results for the correlations of eigenvalues of…
We consider the problem of robust matrix completion, which aims to recover a low rank matrix $L_*$ and a sparse matrix $S_*$ from incomplete observations of their sum $M=L_*+S_*\in\mathbb{R}^{m\times n}$. Algorithmically, the robust matrix…
Estimation of the covariance matrix of asset returns is crucial to portfolio construction. As suggested by economic theories, the correlation structure among assets differs between emerging markets and developed countries. It is therefore…
A topologized semilattice $X$ is called complete if each non-empty chain $C\subset X$ has $\inf C$ and $\sup C$ that belong to the closure $C$ of the chain $C$ in $X$. In this paper, we introduce various concepts of completeness of…
The causal compatibility question asks whether a given causal structure graph -- possibly involving latent variables -- constitutes a genuinely plausible causal explanation for a given probability distribution over the graph's observed…
We study the problem of exact completion for $m \times n$ sized matrix of rank $r$ with the adaptive sampling method. We introduce a relation of the exact completion problem with the sparsest vector of column and row spaces (which we call…
Motivated by the problem of reducing the peak to average power ratio (PAPR) of transmitted signals, we consider a design of complementary set matrices whose column sequences satisfy a correlation constraint. The design algorithm recursively…
We investigate the possibility of completing financial markets in a model with no exogenous probability measure and market imperfections. A necessary and sufficient condition is obtained for such extension to be possible.
This paper considers the problem of matrix completion when some number of the columns are completely and arbitrarily corrupted, potentially by a malicious adversary. It is well-known that standard algorithms for matrix completion can return…
We solve the problem of characterizing the existence of a polynomial matrix of fixed degree when its eigenstructure (or part of it) and some of its rows (columns) are prescribed. More specifically, we present a solution to the row (column)…
We consider the problem of testing whether a correlation matrix of a multivariate normal population is the identity matrix. We focus on sparse classes of alternatives where only a few entries are nonzero and, in fact, positive. We derive a…
Networks of companies can be constructed by using return correlations. A crucial issue in this approach is to select the relevant correlations from the correlation matrix. In order to study this problem, we start from an empty graph with no…
A coprime array receiver processes a collection of received-signal snapshots to estimate the autocorrelation matrix of a larger (virtual) uniform linear array, known as coarray. By the received-signal model, this matrix has to be (i)…
In this study we consider the problem of triangulated graphs. Precisely we give a necessary and sufficient condition for a graph to be triangulated. This give an alternative characterization of triangulated graphs. Our method is based on…