@inproceedings{068acfac21bc47b39424649cdcd1ae14,
title = "A method to sparse eigen subspace and eigenportfolios",
abstract = "A new method to sparse eigen subspaces by using the pdf-optimized zero-zone quantizers is proposed. It is called sparse Karhunen-Loeve Transform (SKLT). The performance of the proposed method is presented for sparse representation of eigenportfolios generated from empirical correlation matrix of stock returns in NASDAQ-100 index. Performance results show that the proposed SKLT outperforms the popular algorithms to sparse eigen subspaces reported earlier in the literature.",
keywords = "Karhunen-Loeve Transform, Lloyd-Max quantizer, Subspace methods, cardinality reduction, dimension reduction, eigen decomposition, midtread (zero-zone) pdf-optimized quantizer, principal component analysis, sparse matrix, transform coding",
author = "Onur Yilmaz and Akansu, {Ali N.}",
note = "Publisher Copyright: {\textcopyright} 2015 IEEE.; 18th International Conference on Information Fusion, Fusion 2015 ; Conference date: 06-07-2015 Through 09-07-2015",
year = "2015",
month = sep,
day = "14",
language = "English (US)",
series = "2015 18th International Conference on Information Fusion, Fusion 2015",
publisher = "Institute of Electrical and Electronics Engineers Inc.",
pages = "1899--1905",
booktitle = "2015 18th International Conference on Information Fusion, Fusion 2015",
address = "United States",
}