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math.OC2018
Regularization of time-varying covariance matrices using linear stochastic systems
Lipeng Ning
This work focuses on modeling of time-varying covariance matrices using the state covariance of linear stochastic systems. Following concepts from optimal mass transport and the Sc…
math.MG2018
Regularization of covariance matrices on Riemannian manifolds using linear systems
Lipeng Ning
We propose an approach to use the state covariance of linear systems to track time-varying covariance matrices of non-stationary time series. Following concepts from Riemmanian geo…