Low-dimensional approximations of high-dimensional asset price models.
Martin RedmannChristian BayerPawan GoyalPublished in: CoRR (2020)
Keyphrases
- high dimensional
- low dimensional
- dimensionality reduction
- high dimensional data
- input space
- manifold learning
- parameter space
- statistical models
- principal component analysis
- decision trees
- variable selection
- euclidean space
- parameter estimation
- prior knowledge
- feature space
- bayesian networks
- similarity search
- complex systems
- data points
- dimension reduction
- probabilistic model
- neural network
- discrete data
- low dimensional spaces