Brownian bridge and principal component analysis: towards removing the curse of dimensionality

DOI10.1093/imanum/drl044zbMath1130.65007OpenAlexW2141306842MaRDI QIDQ5436483

Xiaoqun Wang, Ian H. Sloan

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

zbMATH Keywords

principal component analysisdimension reductionreproducing kernel Hilbert spacesBrownian bridgequasi-Monte Carlo methodscurse of dimensionalitymathematical financegeometric Brownian motionmultivariate integrationhigh-dimensional integralsgood lattice rules

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05)

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