Tuesday, July 26, 2016

An important Example of Simultaneously Wide and Dense Data

By the way, related to my last post on wide and dense data, an important example of analysis of data that are both wide and dense is the high-frequency high-dimensional factor modeling of Pelger and Ait-Sahalia and Xiu.  Effectively they treat wide sets of realized volatilities, each of which is constructed from underlying dense data.

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