Random orthogonal matrix simulation (Q627948)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Random orthogonal matrix simulation |
scientific article |
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Random orthogonal matrix simulation (English)
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4 March 2011
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random matrix
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Ledermann matrix
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\(L\) matrices
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multivariate moments
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volatility clustering
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value-at-risk
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covariances
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random orthogonal matrices
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ROM simulation
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Monte Carlo methods
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stock portfolio
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