Principal Component Analysis of High-Frequency Data
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Publication:5229911
DOI10.1080/01621459.2017.1401542zbMath1478.62150OpenAlexW3125965402MaRDI QIDQ5229911
Yacine Aït-Sahalia, Dacheng Xiu
Publication date: 19 August 2019
Published in: Journal of the American Statistical Association (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/01621459.2017.1401542
Factor analysis and principal components; correspondence analysis (62H25) Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of stochastic analysis (to PDEs, etc.) (60H30)
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Uses Software
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