Principal Component Analysis of High-Frequency Data (Q5229911)

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scientific article; zbMATH DE number 7095877
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Principal Component Analysis of High-Frequency Data
scientific article; zbMATH DE number 7095877

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    Principal Component Analysis of High-Frequency Data (English)
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    19 August 2019
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    eigenvalue
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    eigenvector
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    high frequency
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    Itô semimartingale
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    principal components
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    spectral function
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