Nonlinear principal components and long-run implications of multivariate diffusions

DOI10.1214/09-AOS706zbMath1191.62107arXiv0908.0547MaRDI QIDQ1043731

Lars Peter Hansen, Xiaohong Chen, José Alexandre Scheinkman

Publication date: 9 December 2009

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0908.0547

zbMATH Keywords

quadratic formnonlinear principal componentsmultivariate diffusionconditional expectations operatorlow-frequency data

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) General topics in linear spectral theory for PDEs (35P05) Markov semigroups and applications to diffusion processes (47D07) Diffusion processes (60J60) Applications of operator theory in probability theory and statistics (47N30)

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Uses Software

• fda (R)

Cites Work

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