Fast principal components analysis method for finance problems with unequal time steps (Q3405458)
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scientific article; zbMATH DE number 5671512
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| English | Fast principal components analysis method for finance problems with unequal time steps |
scientific article; zbMATH DE number 5671512 |
Statements
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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0.7529088854789734
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0.7299128770828247
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0.7143609523773193
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0.7141599059104919
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