Dr. James McCaffrey presents a complete end-to-end demonstration of the kernel ridge regression technique to predict a single ...

In this paper, we propose a nonparametric method to estimate the spectrum of a multivariate locally stationary process. The time-varying spectrum is assumed to be smooth in both time and frequency. In ...

This is an expository article that develops the Kalman filter from a Cholesky factorization perspective. In particular, the Kalman filter is shown to be a modification of the Cholesky factorization ...