How to relate two blocks of variables? Partial least squares Analysis two-block pls u, v u'u = v'v = 1 Low-dimensional representation of the pattern of correlations/ covariances between two blocks of variables: A second dimension can be computed as directions orthogonal to the first ones, accounting for the second most correlation/covariance. A direction in each of the two data spaces, for whic...

Article history: Received: 11.9.2013 Received in revised form: 6.11.2013 Accepted: 26.11.2013 In a multi-sensor target tracking system, the correlation of the sensors is unknown, and the cross-covariance between the local sensors can not be calculated. To solve the problem, the multisensor covariance intersection fusion steady-state Kalman filter is proposed. The advantage of the proposed metho...

We propose two tests for the equality of covariance matrices between two high-dimensional populations. One test is on the whole variance–covariance matrices, and the other is on off-diagonal sub-matrices, which define the covariance between two nonoverlapping segments of the high-dimensional random vectors. The tests are applicable (i) when the data dimension is much larger than the sample size...

A basket is a set of instruments that are held together because its statistical profile delivers a desired goal, such as hedging or trading, which cannot be achieved through the individual constituents or even subsets of them. Multiple procedures have been proposed to compute hedging and trading baskets, among which balanced baskets have attracted significant attention in recent years. Unlike P...