Brownian bridge and principal component analysis: towards removing the curse of dimensionality (Q5436483)
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scientific article; zbMATH DE number 5227442
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Brownian bridge and principal component analysis: towards removing the curse of dimensionality |
scientific article; zbMATH DE number 5227442 |
Statements
Brownian bridge and principal component analysis: towards removing the curse of dimensionality (English)
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16 January 2008
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quasi-Monte Carlo methods
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good lattice rules
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multivariate integration
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curse of dimensionality
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dimension reduction
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Brownian bridge
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principal component analysis
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high-dimensional integrals
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mathematical finance
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reproducing kernel Hilbert spaces
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geometric Brownian motion
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