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High-dimensional data analysis

Research Project
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01.09.2021
 - 31.12.2025

The advent of 'big data' has led to new developments in classical areas of multivariate statistics as well as in settings where the number of variables exceeds the sample size. We are interested in methods for dimension reduction, clustering, etc and their applications in economics, finance and business.

Publications

Huynh, Kevin and Lenhard, Gregor (2022) ‘Asymmetric Autoencoders for Factor-Based Covariance Matrix Estimation’, in Third ACM International Conference on AI in Finance (ICAIF ’22). New York: Association for Computing Machinery (ACM) (Third ACM International Conference on AI in Finance (ICAIF ’22)), pp. 403–410. Available at: https://doi.org/10.1145/3533271.3561715.

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Members (3)

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Christian Kleiber

Principal Investigator
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Kevin Huynh

Project Member
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Jan Bauer

Project Member