BYY harmony learning, independent state space, and generalized APT financial analyses

IEEE Transactions on Neural Networks

Volumn 12, Issue 4, 2001, Pages 822-849

  Xu, Lei ^a,b  

^a IEEE   (Hong Kong)

^b CHINESE UNIVERSITY OF HONG KONG   (Hong Kong)

Author keywords

Arbitrage pricing; BYY system; Data smoothing; Factor analysis; Financial modeling; Finite sample size; Harmony learning; Hidden Markov model; ICA; Independence; LMSER learning; Normalization; Portfolio; Regularization; Source separation; State space

Indexed keywords

ARBITRAGE PRICING THEORY; BAYESIAN YING YANG SYSTEM; FACTOR ANALYSIS; HARMONY LEARNING; INDEPENDENT STATE SPACE SYSTEM;

CONTROL THEORY; NEURAL NETWORKS; SIGNAL PROCESSING; STATE SPACE METHODS;

STATISTICAL METHODS;

EID: 0035391741     PISSN: 10459227     EISSN: None     Source Type: Journal    
DOI: 10.1109/72.935094     Document Type: Article

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