Related papers: Principal Component Copulas for Capital Modelling …
Principal component analysis (PCA) is a useful tool when trying to construct factor models from historical asset returns. For the implied volatilities of U.S. equities there is a PCA-based model with a principal eigenportfolio whose return…
Principal Component Analysis (PCA) has been widely used for dimensionality reduction and feature extraction. Robust PCA (RPCA), under different robust distance metrics, such as l1-norm and l2, p-norm, can deal with noise or outliers to some…
This paper examines several applications of principal component analysis (PCA) to physical systems. The first of these demonstrates that the principal components in a basis of appropriate system variables can be employed to identify…
Principal component analysis (PCA) is a widely used unsupervised dimensionality reduction technique in machine learning, applied across various fields such as bioinformatics, computer vision and finance. However, when the response variables…
We use Principal Component Analysis (PCA) to study the gas dynamics in numerical simulations of typical MCs. Our simulations account for the non-isothermal nature of the gas and include a simplified treatment of the time-dependent gas…
Principal Component Analysis (PCA) and its nonlinear extension Kernel PCA (KPCA) are widely used across science and industry for data analysis and dimensionality reduction. Modern deep learning tools have achieved great empirical success,…
Principal Component Analysis (PCA) is the most common nonparametric method for estimating the volatility structure of Gaussian interest rate models. One major difficulty in the estimation of these models is the fact that forward rate curves…
A system with many degrees of freedom can be characterized by a covariance matrix; principal components analysis (PCA) focuses on the eigenvalues of this matrix, hoping to find a lower dimensional description. But when the spectrum is…
Principal component analysis (PCA) is a fundamental tool for analyzing multivariate data. Here the focus is on dimension reduction to the principal subspace, characterized by its projection matrix. The classical principal subspace can be…
We propose a new data-driven method to select the optimal number of relevant components in Principal Component Analysis (PCA). This new method applies to correlation matrices whose time autocorrelation function decays more slowly than an…
Principal Component Analysis (PCA) is a fundamental data preprocessing tool in the world of machine learning. While PCA is often thought of as a dimensionality reduction method, the purpose of PCA is actually two-fold: dimension reduction…
Principal Component Analysis (PCA) is a ubiquitous tool with many applications in machine learning including feature construction, subspace embedding, and outlier detection. In this paper, we present an algorithm for computing the top…
Privacy-preserving data mining has become an important topic. People have built several multi-party-computation (MPC)-based frameworks to provide theoretically guaranteed privacy, the poor performance of real-world algorithms have always…
Principal Component Analysis (PCA) is a commonly used tool for dimension reduction in analyzing high dimensional data; Multilinear Principal Component Analysis (MPCA) has the potential to serve the similar function for analyzing tensor…
Principal component analysis (PCA) defines a reduced space described by PC axes for a given multidimensional-data sequence to capture the variations of the data. In practice, we need multiple data sequences that accurately obey individual…
Principal component analysis (PCA) frequently suffers from the disturbance of outliers and thus a spectrum of robust extensions and variations of PCA have been developed. However, existing extensions of PCA treat all samples equally even…
Modeling cross-sectional correlations between thousands of stocks, across countries and industries, can be challenging. In this paper, we demonstrate the advantages of using Hierarchical Principal Component Analysis (HPCA) over the classic…
Copulas are mathematical tools for modeling joint probability distributions. Since copulas enable one to conveniently treat the marginal distribution of each variable and the interdependencies among variables separately, in the past 60…
Principal Component Analysis (PCA) is a popular tool for dimensionality reduction and feature extraction in data analysis. There is a probabilistic version of PCA, known as Probabilistic PCA (PPCA). However, standard PCA and PPCA are not…
Principal component analysis is a versatile tool to reduce dimensionality which has wide applications in statistics and machine learning. It is particularly useful for modeling data in high-dimensional scenarios where the number of…