Breaking the 'curse of dimensionality' for Boltzmann-like system

2017 ◽  
Author(s):  
Gianmarco Manzini ◽  
Gian Luca Delzanno ◽  
Louis James Vernon
Keyword(s):  
Curse Of Dimensionality

Simple Multivariate Conditional Covariance Dynamics Using Hyperbolically Weighted Moving Averages

2020 ◽  
Vol 0 (0) ◽  
Author(s):  
Hiroyuki Kawakatsu
Keyword(s):  
Moving Average ◽  
Curse Of Dimensionality ◽  
Moving Averages ◽  
Conditional Covariance ◽  
Arch Models ◽  
Empirical Application ◽  
Proposed Model ◽  
Out Of Sample ◽  
Weight Model ◽  
Weighted Moving Average

AbstractThis paper considers a class of multivariate ARCH models with scalar weights. A new specification with hyperbolic weighted moving average (HWMA) is proposed as an analogue of the EWMA model. Despite the restrictive dynamics of a scalar weight model, the proposed model has a number of advantages that can deal with the curse of dimensionality. The empirical application illustrates that the (pseudo) out-of-sample multistep forecasts can be surprisingly more accurate than those from the DCC model.

Curse of Dimensionality

2017 ◽  
pp. 314-315 ◽  
Author(s):  
Eamonn Keogh ◽  
Abdullah Mueen
Keyword(s):  
Curse Of Dimensionality
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