Low-Dimensional Approximations of High-Dimensional Asset Price Models.
Martin RedmannChristian BayerPawan GoyalPublished in: SIAM J. Financial Math. (2021)
Keyphrases
- high dimensional
- low dimensional
- dimensionality reduction
- feature space
- principal component analysis
- statistical models
- data points
- high dimensional data
- euclidean space
- manifold learning
- dimension reduction
- vector space
- probabilistic model
- data sets
- similarity search
- variable selection
- high dimensionality
- pattern recognition
- input space
- high dimensions
- prior knowledge
- neural network