X-Nico

unusual facts about covariance


Covariance and contravariance

Covariance, in probability theory and statistics, the measure of how much two random variables vary together


Unscented transform

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.

Value at risk

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).


see also