e**l
发帖数: 62 | 1 大概只知道inverse covariance matrix can tell conditional independence
structure.
本人不是统计也不是金融背景，只是计算数学，有方法弄出高维数据(multivariate
gaussian)的
inverse covariance matrix. 想找到在金融经济方面应用
大概两个大想法
1。需要用到inverse covariance matrix来算的公式
2.需要知道conditional dependence or not的金融模型或者简单问题
个人猜想大概在风险计算方面有点用 不过所知甚少 希望大牛提点一二
多谢大牛！！！ |
w**********y
发帖数: 1691 | 2 Lots of statistical models need the inverse covariance matrix..
In finance, portfolio management uses it.
Google "inverse matrix optimal portfolio selection"
"inverse matrix optimal portfolio selection with Singular Covariance Matrix"
"Optimal mean-variance portfolio selection using Cauchy–Schwarz maximization"
In some basket products in credit, it should also be useful. |
e**l
发帖数: 62 | |
o******l
发帖数: 35 | 4 How hard is it to calculate the inverse covariance matrix of multivariate
gaussians? Isn't it just basic linear algebra? |
l******n
发帖数: 9344 | 5 Hahaha...
How hard is it to calculate the inverse covariance matrix of multivariate
gaussians? Isn........
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【在 o******l 的大作中提到】
: How hard is it to calculate the inverse covariance matrix of multivariate
: gaussians? Isn't it just basic linear algebra?
|
