Modelling covariance matrices by the trigonometric separation strategy with application to hidden Markov models
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DOI: 10.1007/s11749-018-0580-8
Abstract: Bayesian inference on the covariance matrix is usually performed after placing an inverse-Wishart or a multivariate Jeffreys as a prior density, but both of them, for different reasons, present some drawbacks. As an alternative, the… read more here.
Keywords: trigonometric separation; covariance; separation strategy; markov ... See more keywords