Sparse factor model based on trend filtering
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Publication:2070700
DOI10.1007/s10479-021-04029-9zbMath1482.91201OpenAlexW3138244634MaRDI QIDQ2070700
Publication date: 24 January 2022
Published in: Annals of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10479-021-04029-9
Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Financial markets (91G15)
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