A covariance matrix adaptation based evolutionary methodology for phase adjustment in financial time series forecasting.
Ricardo de A. AraújoAdriano L. I. de OliveiraSérgio C. B. SoaresPublished in: GECCO (2010)
Keyphrases
- covariance matrix
- financial time series forecasting
- covariance matrices
- principal component analysis
- mahalanobis distance
- sample size
- geometrical interpretation
- eigenvalues and eigenvectors
- gaussian mixture
- financial time series
- correlation matrix
- objective function
- eigendecomposition
- genetic algorithm
- cma es
- principal components
- lower bound
- multivariate gaussian
- class conditional densities