Fast Principal Components Analysis Method for Finance Problems With Unequal Time Steps (Q3405458)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Fast Principal Components Analysis Method for Finance Problems With Unequal Time Steps |
scientific article |
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Fast Principal Components Analysis Method for Finance Problems With Unequal Time Steps (English)
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15 February 2010
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principal components analysis (PCA)
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fast matrix-vector multiplication
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semi-separable matrix
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quasi-Monte Carlo
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