Abstract: In this paper, a novel variational Bayesian (VB)-based adaptive Kalman filter (VBAKF) for linear Gaussian state-space models with inaccurate process and measurement noise covariance matrices ...

Abstract: Inferring the covariance matrix of multivariate data is of great interest in statistics, finance, and data science. It is often carried out via the maximum likelihood estimation (MLE) ...

Julia Kagan is a financial/consumer journalist and former senior editor, personal finance, of Investopedia. Erika Rasure is globally-recognized as a leading consumer economics subject matter expert, ...

Mary Hall is a editor for Investopedia's Advisor Insights, in addition to being the editor of several books and doctoral papers. Mary received her bachelor's in English from Kent State University with ...

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