Brownian bridge and principal component analysis: Towards removing the curse of dimensionality

IMA Journal of Numerical Analysis

Volumn 27, Issue 4, 2007, Pages 631-654

  Wang, Xiaoqun ^a   Sloan, Ian H ^b  

^a TSINGHUA UNIVERSITY   (China)

^b UNIVERSITY OF NEW SOUTH WALES   (Australia)

Author keywords

Brownian bridge; Curse of dimensionality; Dimension reduction; Good lattice rules; Multivariate integration; Principal component analysis; Quasi Monte Carlo methods

Indexed keywords

BROWNIAN MOVEMENT; ERRORS; INTEGRATION; MONTE CARLO METHODS; PRINCIPAL COMPONENT ANALYSIS;

BROWNIAN BRIDGE; CURSE OF DIMENSIONALITY; DIMENSION REDUCTION; GOOD LATTICE RULES; MULTIVARIATE INTEGRATION; QUASI MONTE CARLO METHODS;

DIMENSIONALITY REDUCTION;

EID: 35348825712     PISSN: 02724979     EISSN: 14643642     Source Type: Journal    
DOI: 10.1093/imanum/drl044     Document Type: Article

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