scholarly journals A generalization of the minimum variance analysis method

1996 ◽  
Vol 14 (10) ◽  
pp. 1019 ◽  
Author(s):  
H. Kawano ◽  
T. Higuchi
Keyword(s):  
Minimum Variance ◽  
Variance Analysis ◽  
Analysis Method

New Metric for Minimum Variance Analysis Validation in the Study of Interplanetary Magnetic Clouds

Solar Physics ◽  
2020 ◽  
Vol 295 (3) ◽  
Author(s):  
Rosemeire Aparecida Rosa Oliveira ◽  
Marcos William da Silva Oliveira ◽  
Arian Ojeda-González ◽  
Victor De La Luz
Keyword(s):  
Minimum Variance ◽  
Variance Analysis ◽  
Magnetic Clouds

Wavelength and direction filtering by magnetic measurements at satellite arrays: Generalized minimum variance analysis

1996 ◽  
Vol 101 (A3) ◽  
pp. 4961-4965 ◽  
Author(s):  
U. Motschmann ◽  
T. I. Woodward ◽  
K. H. Glassmeier ◽  
D. J. Southwood ◽  
J. L. Pinçon
Keyword(s):  
Magnetic Measurements ◽  
Minimum Variance ◽  
Variance Analysis

Mean-Variance Analysis

2017 ◽  
Author(s):  
Kerry E. Back
Keyword(s):  
Global Minimum ◽  
Minimum Variance ◽  
Variance Analysis ◽  
Affine Function ◽  
Market Portfolio ◽  
Minimum Variance Portfolio ◽  
The Mean ◽  
Global Minimum Variance Portfolio ◽  
Mean Variance

The mean‐variance frontier is characterized with and without a risk‐free asset. The global minimum variance portfolio and tangency portfolio are defined, and two‐fund spanning is explained. The frontier is characterized in terms of the return defined from the SDF that is in the span of the assets. This is related to the Hansen‐Jagannathan bound. There is an SDF that is an affine function of a return if and only if the return is on the mean‐variance frontier. Separating distributions are defined and shown to imply two‐fund separation and mean‐variance efficiency of the market portfolio.

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