Approximation of eigenvalues of spot cross volatility matrix with a view toward principal component analysis
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Publication:1684768
DOI10.1007/s13160-017-0266-8zbMath1483.62093arXiv1409.2214OpenAlexW2159382373MaRDI QIDQ1684768
Publication date: 12 December 2017
Published in: Japan Journal of Industrial and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1409.2214
Factor analysis and principal components; correspondence analysis (62H25) Estimation in multivariate analysis (62H12) Applications of statistics to actuarial sciences and financial mathematics (62P05) Fourier series and coefficients in several variables (42B05)
Cites Work
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