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Model-agnostic noise reduction for high-dimensional time series data

Wouters, Bram et al.
arXiv (All) · Papers
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methodologystatistical-finance
We develop a model-agnostic framework for noise reduction in high-dimensional time series that explicitly targets optimal recovery of a low-dimensional latent dynamic component contaminated by observational white noise. Under the assumption that the latent dynamics live in a low-dimensional linear d
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