CNN-based Realized Covariance Matrix Forecasting.
Yanwen FangPhilip L. H. YuYaohua TangPublished in: CoRR (2021)
Keyphrases
- covariance matrix
- covariance matrices
- cellular neural networks
- sample size
- principal component analysis
- correlation matrix
- gaussian mixture
- mahalanobis distance
- multivariate gaussian
- positive definite
- eigendecomposition
- geometrical interpretation
- pseudo inverse
- eigenvalues and eigenvectors
- least squares
- multivariate normal
- high dimensional
- transformation matrix
- estimation error
- symmetric matrix
- special case
- feature space
- mahalanobis metric