Tran, Ngoc Mai; Osipenko, Maria; Härdle, Wolfgang Karl - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2014
Principal component analysis (PCA) is a widely used dimension reduction tool in the analysis of many kind of high … fashion. The tail character though requires to do the dimension reduction in an asymmet- ric norm rather than the classical L2 …