Some Statistical Problems with High Dimensional Financial data

DOI10.1007/978-3-030-11364-3_11zbMath1420.62241arXiv1808.02953OpenAlexW3125659313MaRDI QIDQ5227362

Arnab Chakrabarti, Rituparna Sen

Publication date: 26 July 2019

Published in: New Economic Windows (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1808.02953

zbMATH Keywords

principal component analysiscovariance matrixhigh-dimensional financial data

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Estimation in multivariate analysis (62H12) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Uses Software

• glasso
• PMA

Cites Work

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