Engineering
a year ago

New method for estimating noise covariance could improve data analysis accuracy.

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Proceedings of the ISCIE International Symposium on Stochastic Systems Theory and its Applications
Consistent estimate of a residuals covariance for the estimation of noise covariance
Kenji Ikeda, Hideyuki Tanaka

Paper Summary

The article presents a method to estimate noise covariance in a linear regression model. The researchers found a way to consistently estimate the covariance matrix of the residuals, which is needed for accurate noise estimation. Their analysis shows that the proposed method provides a reliable estimate of the covariance matrix.

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