Nonlinear principal components and long-run implications of multivariate diffusions

DOI10.1214/09-AOS706zbMath1191.62107arXiv0908.0547MaRDI QIDQ1043731

Xiaohong Chen, Lars Peter Hansen, José Alexandre Scheinkman

Publication date: 9 December 2009

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0908.0547

zbMATH Keywords

quadratic form; nonlinear principal components; multivariate diffusion; conditional expectations operator; low-frequency data

Mathematics Subject Classification ID

62H25: Factor analysis and principal components; correspondence analysis

35P05: General topics in linear spectral theory for PDEs

47D07: Markov semigroups and applications to diffusion processes

60J60: Diffusion processes

47N30: Applications of operator theory in probability theory and statistics

Uses Software

• fda (R)