Search for tag: "cholesky decomposition"

Lecture 2 - Simulation of basic processes duration 1 hour 36 minutes Lecture 2 - Simulation of basic processes Lecture 2 - Simulation of basic processes	Lecture 2 - Simulation of basic processes Examples: simulation from the multidimensional Gaussian law. Cholesky decomposition, PCA. Examples: generation of the skeleton of the multidimensional Brownian motion and the Ornstein-Uhlenbeck… gaussian vectors cholesky decomposition pca brownian motion ornstein-uhlenbeck process From Tiziano Vargiolu 8 plays 0
Lecture 6: Functional limit theorems for… duration 1 hour 52 minutes Lecture 6: Functional limit theorems for… Lecture 6: Functional limit theorems for financial markets with long-range dependence	Lecture 6: Functional limit theorems for financial markets with long-range dependence * General conditions of weak convergence - Convergence of sums - Multiplicative scheme* Monotonicity along the diagonal of a triangular matrix in the Cholesky decomposition of a positive definite… weak convergence cholesky decomposition toeplitz matrix stationary processes fractional brownian motion high-frequency trading From Tiziano Vargiolu 8 plays 0
Lecture 31: the Cholesky decomposition duration 58 minutes 46 seconds Lecture 31: the Cholesky decomposition Lecture 31: the Cholesky decomposition	Lecture 31: the Cholesky decomposition The Cholesky decomposition correlated brownian motion correlation matrix cholesky decomposition From Tiziano Vargiolu 16 plays 0