Fast principal components analysis method for finance problems with unequal time steps

DOI10.1007/978-3-642-04107-5_29MaRDI QIDQ3405458zbMATH OpenOpenAlexFDO

Authors 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) Monte Carlo methods (65C05) Complexity and performance of numerical algorithms (65Y20) Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70)

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• Fast orthogonal transforms and generation of Brownian paths
• Smoothing Splines and Rank Structured Matrices: Revisiting the Spline Kernel

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