Concepedia

Covariance Estimation

Covariance Estimation is a statistical inference method that, within the framework of Kalman Filtering and parameter estimation, characterizes the uncertainty of state or parameter estimates by specifying the covariance matrix that quantifies the expected dispersion and correlation of estimation errors around their mean values.

1.6K

Publications

139.6K

Citations

3.3K

Authors

1.3K

Institutions

Publications per year

2017–2026

335

Parents

Publications

1.6K

Sparse inverse covariance estimation with the graphical lasso

Jerome H. Friedman, Trevor Hastie, Robert Tibshirani · Biostatistics · 2007 · 6.6K citations · Full text

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Consistent Covariance Matrix Estimation with Spatially Dependent Panel Data

John C. Driscoll, Aart Kraay · The Review of Economics and Statistics · 1998 · 6.3K citations

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Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation

Donald W. K. Andrews · Econometrica · 1991 · 4.1K citations

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A new method for the nonlinear transformation of means and covariances in filters and estimators

Simon Julier, Jeffrey Uhlmann, Hugh Durrant‐Whyte · IEEE Transactions on Automatic Control · 2000 · 3.7K citations

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Automatic Lag Selection in Covariance Matrix Estimation

Whitney K. Newey, Kenneth D. West · The Review of Economic Studies · 1994 · 3.3K citations

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1–5 of 1.6K

Authors

3.3K

  1. PS
    Petre Stoica

    Uppsala University, Sweden

    18 publications · 2.4K citations

    15

    h-index

  2. AW
    Ami Wiesel

    Hebrew University of Jerusalem, Israel

    14 publications · 1.5K citations

    14

    h-index

  3. AD
    Antonio De Maio

    University of Naples Federico II, Italy

    12 publications · 777 citations

    12

    h-index

  4. SN
    Seiichi Nakamori

    Kagoshima University, Japan

    13 publications · 319 citations

    11

    h-index

  5. AH
    A. Hermoso‐Carazo

    Universidad de Granada, Spain

    13 publications · 320 citations

    10

    h-index

1–5 of 3.3K

Institutions

1.3K

  1. Centre National de la Recherche Scientifique

    Paris, France

    20 h-index

    70 publications

    3.6K citations

  2. Princeton University

    Princeton, United States

    20 h-index

    40 publications

    6.5K citations

  3. University of Michigan

    Ann Arbor, United States

    19 h-index

    53 publications

    7.2K citations

  4. Massachusetts Institute of Technology

    Cambridge, United States

    19 h-index

    46 publications

    3.2K citations

  5. University of Wisconsin–Madison

    Madison, United States

    18 h-index

    30 publications

    9.4K citations

  6. University of California, Berkeley

    Berkeley, United States

    17 h-index

    52 publications

    7.2K citations

  7. Uppsala University

    Uppsala, Sweden

    17 h-index

    29 publications

    3.7K citations

  8. Universidad de Granada

    Granada, Spain

    16 h-index

    42 publications

    1.7K citations

1–8 of 1.3K

Venues

  1. IEEE Transactions on Signal Processing

    89 publications · 7.7K citations

    47

    h-index

  2. The Annals of Statistics

    47 publications · 6.6K citations

    37

    h-index

  3. Journal of the American Statistical Association

    40 publications · 4.5K citations

    26

    h-index

  4. IEEE Transactions on Automatic Control

    42 publications · 7.4K citations

    25

    h-index

  5. 24

    h-index

1–5