Using EWMA to forecast the portfolio's dynamic transferred variance-covariancematrix, we can get more reasonable and precise dynamic transferred coefficient matrix.
采用EWMA模型预测动态变化的方差-协方差矩阵,从实证的角度得到更精准的动态迁移相关系数矩阵。
2
The variance-covariancematrix still include parameter of variance in this condition, so our purpose is to look for feasible estimations.
因为这时模型协方差阵结构仍含有方差参数,因此我们的目标是寻求可行估计。
3
Variance component model of the random effects of covariancematrix unit for the "Linear model introduction" matrix has been studied.