On a computationally scalable sparse formulation of the multidimensional and nonstationary maximum entropy principle (Q2219904)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On a computationally scalable sparse formulation of the multidimensional and nonstationary maximum entropy principle |
scientific article |
Statements
On a computationally scalable sparse formulation of the multidimensional and nonstationary maximum entropy principle (English)
0 references
21 January 2021
0 references
machine learning
0 references
financial time series
0 references
maximum entropy
0 references
heteroscedasticity
0 references
sparsity
0 references
0 references
