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stat.ML2021
Covariance Prediction via Convex Optimization
Shane Barratt, Stephen Boyd
We consider the problem of predicting the covariance of a zero mean Gaussian vector, based on another feature vector. We describe a covariance predictor that has the form of a gene…
stat.ML2021★ 2 cited
Low Rank Forecasting
Shane Barratt, Yining Dong, Stephen Boyd
We consider the problem of forecasting multiple values of the future of a vector time series, using some past values. This problem, and related ones such as one-step-ahead predicti…