0
votes
1answer
71 views

Bounds on least squares and weighted least squares estimator

I was wondering if I can get some help in getting bounds on the parameters estimated by least squares (LS) and weighted least squares (WLS) methods. Suppose our observation model is: $\mathbf{y} = ...
0
votes
1answer
25 views

How to obtain estimate of covariance matrix that will be guarantee to be semi-positive define?

How to obtain estimate of covariance matrix that will be guarantee to be semi-positive define ? (Is CrossValidated better place for this question ?)
2
votes
2answers
85 views

Have spd $(A^TA)$ and $(B^TB)$, need $A^TB$.

Given two symmetric positive definite matrices $(A^TA)$ and $(B^TB)$ I need to compute $A^TB$. $A$ and $B$ are not given directly. $(A^TA)$ and $(B^TB)$ have the same dimensions. $A$ and $B$ are ...
3
votes
2answers
353 views

How can I compare two Markov processes?

There is a discrete-time irreductible Markov process with $r$ possible states. $k$ observations were performed. At each observation a state of process was determined. $T_0 = \lbrace 0,1,\dots ...