ABSTRACT A novel technique is presented to construct sparse Gaussian regression models. Unlike most kernel regression modelling methods, which restrict kernel means to the training input data and use a fixed common variance for all the regressors, the proposed technique can tune the mean vector and diagonal covariance matrix of individual Gaussian regressor to best fit the training data based o...

This work discusses most frequently traded stocks of National stock exchange of India. A prediction based portfolio optimization model is considered to present an ideal portfolio out of the considered stocks. Neural network has been used to predict stock returns and a risk measure is derived that has the same foundation as that of mean variance model. The architecture of the network is designed...

The major obstacle to extensive use of cokriging for integration of multiple data types in estimation is the requirement of modeling a positive definite covariance matrix of size K by K including up toK different terms if K coregionalized variables are considered. In practice, this matrix is modeled using a linear model of coregionalization (LMC); each covariance is modeled by a different linea...

It is well known that under low sample support of the correlation matrix, low rank solutions of the Minimum Variance Distortionless Response (MVDR) problem can yield better performance than the full rank solution. A new adaptive approach, Indirect Dominant Mode Rejection (IDMR), was introduced in previous work to solve the MVDR optimization problem. In this paper we extend IDMR beamformers from...

The Minimum Variance portfolio is subject to varying degrees of stability and robustness. We, therefore, propose a theoretical measure its relative Marchenko–Pastur derived random correlation matrix. We demonstrate practical use on the S&P 400, 500, 600 Russell 1000. Using historic market data from 2002 2021, we perform an optimisation empirical matrix eigenvalue distribution determine implied ...

1. introduction natural hazards have existed in all periods of human life, but nowadays due to the exponential growth of human and population density in all aspects of life, especially in high risk areas, human has been faced with major disasters such as the asia tsunami, hurricane katrina and the earthquake in sichuan of china with significant casualties even in developed countries. these haza...