Directed Principal Component Analysis (Q2931712)

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Directed Principal Component Analysis
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    title
    Directed Principal Component Analysis (English)
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    author
    Yi-Hao Kao
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    Benjamin van Roy
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    publication date
    26 November 2014
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    Mathematics Subject Classification ID
    62H25
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    62P05
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    90C15
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    zbMATH DE Number
    6374334
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    zbMATH Keywords
    principal component analysis
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    covariance matrix estimation
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    high-dimensional data
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    portfolio management
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    convex optimization
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    decision analysis
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    stochastic programming
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    OpenAlex ID
    W2100265626
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