Fast Principal Components Analysis Method for Finance Problems With Unequal Time Steps

DOI10.1007/978-3-642-04107-5_29zbMath1182.91200OpenAlexW139797594MaRDI QIDQ3405458

Jens Keiner, Benjamin J. Waterhouse

Publication date: 15 February 2010

Published in: Monte Carlo and Quasi-Monte Carlo Methods 2008 (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-04107-5_29

zbMATH Keywords

quasi-Monte Carlofast matrix-vector multiplicationprincipal components analysis (PCA)semi-separable matrix

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70) Monte Carlo methods (65C05) Complexity and performance of numerical algorithms (65Y20)

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