Topological regularization with information filtering networks

DOI10.1016/j.ins.2022.06.007arXiv2005.04692OpenAlexW3023390058MaRDI QIDQ6195440

Tomaso Aste

Publication date: 13 March 2024

Published in: Information Sciences (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2005.04692

zbMATH Keywords

complex systemscovariance selectionsparse inverse covariancetopological regularizationinformation filtering networksChow-Liu treesIFN regressionsparse expectation-maximization

Mathematics Subject Classification ID

Statistics (62-XX) Computer science (68-XX)

Cites Work

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• Sparse inverse covariance estimation with the graphical lasso
• Correlation based networks of equity returns sampled at different time horizons
• Multivariate T-Distributions and Their Applications
• A Review of Two Decades of Correlations, Hierarchies, Networks and Clustering in Financial Markets
• Forecasting market states

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