Covariance, in probability theory and statistics, the measure of how much two random variables vary together
Covariance and contravariance of vectors | Covariance and contravariance | Covariance | covariance |
In 1994 Jeffrey Uhlmann noted that the EKF takes a nonlinear function and partial distribution information (in the form of a mean and covariance estimate) of the state of a system but applies an approximation to the known function rather than to the imprecisely-known probability distribution.
VaR can be estimated either parametrically (for example, variance-covariance VaR or delta-gamma VaR) or nonparametrically (for examples, historical simulation VaR or resampled VaR).