Brownian bridge and principal component analysis: towards removing the curse of dimensionality
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Publication:5436483
DOI10.1093/imanum/drl044zbMath1130.65007MaRDI QIDQ5436483
Publication date: 16 January 2008
Published in: IMA Journal of Numerical Analysis (Search for Journal in Brave)
Full work available at URL: https://semanticscholar.org/paper/0ebac77d35261de2c94d4e24f6b2eff0b4530e9a
principal component analysis; dimension reduction; reproducing kernel Hilbert spaces; Brownian bridge; quasi-Monte Carlo methods; curse of dimensionality; mathematical finance; geometric Brownian motion; multivariate integration; high-dimensional integrals; good lattice rules
62H25: Factor analysis and principal components; correspondence analysis
91G60: Numerical methods (including Monte Carlo methods)
65C05: Monte Carlo methods
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