Functional Principal Component Analysis for Derivatives of Multivariate Curves
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Publication:4558595
DOI10.5705/ss.202017.0199zbMath1406.62063MaRDI QIDQ4558595
Alois Kneip, Wolfgang Karl Härdle, Heiko Wagner, Maria Grith
Publication date: 22 November 2018
Published in: Statistica Sinica (Search for Journal in Brave)
Full work available at URL: http://sfb649.wiwi.hu-berlin.de/papers/pdf/SFB649DP2016-033.pdf
derivatives; multivariate functions; functional principal component analysis; dual method; option prices; state price densities
62H25: Factor analysis and principal components; correspondence analysis
62P05: Applications of statistics to actuarial sciences and financial mathematics