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A covariance matrix adaptation based evolutionary methodology for phase adjustment in financial time series forecasting.
Ricardo de A. Araújo
Adriano L. I. de Oliveira
Sérgio C. B. Soares
Published in:
GECCO (2010)
Keyphrases
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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