cCorrGAN: conditional correlation GAN for learning empirical conditional distributions in the elliptope

DOI10.1007/978-3-030-80209-7_66OpenAlexW3186539546MaRDI QIDQ2117912FDOQ2117912

Authors: Gautier Marti, Victor Goubet, Frank Nielsen 

Publication date: 22 March 2022

Full work available at URL: https://arxiv.org/abs/2107.10606

zbMATH Keywords

Monte Carlo simulationsempirical distributionscorrelation matricesquantitative financegenerative adversarial networkselliptope geometry

Mathematics Subject Classification ID

Learning and adaptive systems in artificial intelligence (68T05) Random matrices (algebraic aspects) (15B52)

Cites Work

• Computing the nearest correlation matrix--a problem from finance
• Simulating realistic correlation matrices for financial applications: correlation matrices with the Perron–Frobenius property
• Generating random correlation matrices based on vines and extended onion method
• Numerically stable generation of correlation matrices and their factors
• A Differential Geometric Approach to the Geometric Mean of Symmetric Positive-Definite Matrices
• Behavior of the NORTA method for correlated random vector generation as the dimension increases
• Quant GANs: deep generation of financial time series
• Geometry-aware principal component analysis for symmetric positive definite matrices
• Clustering in Hilbert's projective geometry: the case studies of the probability simplex and the elliptope of correlation matrices

Cited In (3)

• Theoretically and Computationally Convenient Geometries on Full-Rank Correlation Matrices
• cCorrGAN
• Permutation-invariant log-Euclidean geometries on full-rank correlation matrices

Uses Software

• POT
• QuantGAN
• CorrGAN

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