Functional Principal Component Analysis for Derivatives of Multivariate Curves

DOI10.5705/ss.202017.0199zbMath1406.62063OpenAlexW3123208699WikidataQ130030891 ScholiaQ130030891MaRDI QIDQ4558595

Alois Kneip, Maria Grith, Heiko Wagner, Wolfgang Karl Härdle

Publication date: 22 November 2018

Published in: Statistica Sinica (Search for Journal in Brave)

Full work available at URL: http://sfb649.wiwi.hu-berlin.de/papers/pdf/SFB649DP2016-033.pdf

zbMATH Keywords

derivativesmultivariate functionsfunctional principal component analysisdual methodoption pricesstate price densities

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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