Mean and covariance matrix adaptive estimation for a weakly stationary process. Application in stochastic optimization (Q5502854)
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scientific article; zbMATH DE number 5488518
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Mean and covariance matrix adaptive estimation for a weakly stationary process. Application in stochastic optimization |
scientific article; zbMATH DE number 5488518 |
Statements
Mean and covariance matrix adaptive estimation for a weakly stationary process. Application in stochastic optimization (English)
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9 January 2009
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adaptive estimation
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weakly stationary process
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stochastic optimization
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value-at-risk
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portfolio management
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