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

DOI10.1007/978-3-030-80209-7_66MaRDI QIDQ2117912zbMATH OpenOpenAlexFDO

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

correlation matriceselliptope geometryempirical distributionsgenerative adversarial networksMonte Carlo simulationsquantitative finance

Mathematics Subject Classification ID

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

Cites work

• 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
• Clustering in Hilbert's projective geometry: the case studies of the probability simplex and the elliptope of correlation matrices
• Computing the nearest correlation matrix--a problem from finance
• Generating random correlation matrices based on vines and extended onion method
• Geometry-aware principal component analysis for symmetric positive definite matrices
• Numerically stable generation of correlation matrices and their factors
• Quant GANs: deep generation of financial time series
• Simulating realistic correlation matrices for financial applications: correlation matrices with the Perron–Frobenius property

Cited in

(3)

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

Describes a project that uses

Uses Software

• QuantGAN
• CorrGAN
• POT

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