(Empirical) Gramian-based dimension reduction for stochastic differential equations driven by fractional Brownian motion.
Nahid JamshidiMartin RedmannPublished in: CoRR (2023)
Keyphrases
- dimension reduction
- stochastic differential equations
- fractional brownian motion
- long range
- non stationary
- maximum a posteriori estimation
- fractal dimension
- feature extraction
- principal component analysis
- low dimensional
- brownian motion
- singular value decomposition
- high dimensional
- financial markets
- random fields
- high dimensionality
- high dimensional data
- feature selection
- unsupervised learning
- dimensionality reduction
- linear discriminant analysis
- additive gaussian noise
- machine learning
- feature space
- mathematical model
- heavy traffic
- knn