Fused-Lasso Regularized Cholesky Factors of Large Nonstationary Covariance Matrices of Replicated Time Series.
Aramayis DallakyanMohsen PourahmadiPublished in: J. Comput. Graph. Stat. (2023)
Keyphrases
- non stationary
- covariance matrices
- covariance matrix
- maximum likelihood
- least squares
- distance measure
- gaussian mixture model
- vector space
- autoregressive
- gaussian distribution
- linear classifiers
- sample size
- multivariate normal
- financial time series
- feature selection
- stock price
- feature vectors
- objective function
- random fields
- gaussian mixture
- computationally efficient
- machine learning
- cross validation
- model selection
- dimensionality reduction