Keyphrases
Signal Processing
100%
Asset Returns
100%
Toeplitz Approximation
100%
Empirical Correlation Matrix
100%
Eigenvalues
50%
Karhunen-Loève Transform
50%
Analytical Framework
25%
Eigenvector
25%
Correlation Coefficient
25%
Correlation Matrix
25%
AR(1)
25%
Signal Model
25%
Portfolio Risk
25%
Discrete Cosine Transform
25%
Autoregressive Order
25%
Intrinsic Noise
25%
Noise Filtering
25%
Finance Applications
25%
Quantitative Finance
25%
Theoretical Reasoning
25%
Portfolio Rebalancing
25%
Eigendecomposition
25%
Noise Component
25%
Mathematics
Correlation Matrix
100%
Signal Processing
100%
Eigenvalue
40%
Good Approximation
20%
Eigenvector
20%
Mathematical Finance
20%
correlation coefficient ρ
20%
Closed Form
20%
Discrete Cosine Transform
20%
Computer Science
Approximation (Algorithm)
100%
Correlation Matrix
100%
Eigenvalue
40%
Loéve Transform
40%
Good Approximation
20%
Eigenvector
20%
Discrete Cosine Transform
20%
Theoretical Reasoning
20%
Engineering
Correlation Matrix
100%
Eigenvalue
40%
Energy Engineering
20%
Good Approximation
20%
Eigenvector
20%
Signal Model
20%
Closed Form
20%
Analytical Framework
20%
Noise Filtering
20%
Eigen Decomposition
20%
Economics, Econometrics and Finance
Capital Market Returns
100%
Finance
50%