Fast algorithm for nonparametric arbitrage-free SPD estimation.
Zdenek HlávkaPublished in: Comput. Stat. Data Anal. (2006)
Keyphrases
- significant improvement
- detection algorithm
- experimental evaluation
- learning algorithm
- estimation algorithm
- dynamic programming
- cost function
- computational cost
- search space
- computational complexity
- k means
- preprocessing
- high accuracy
- times faster
- theoretical analysis
- optimization algorithm
- improved algorithm
- estimation accuracy
- convergence rate
- parameter estimation
- input data
- probabilistic model
- search algorithm
- optimal solution
- objective function