Semaine Maths-Entreprises 2022 - Institut Polytechnique de Paris

Session

supprimé

Non programmé

France

21. Covariance filtering using neural networks

Grégoire Loeper (BNP Paribas)

The goal of this project is to use an AI based method to estimate the true covariance matrix of a d dimensional stochastic process. This task is often referred to as "covariance shrinkage" and a lot of literature has been written on this topic, whose mathematical foundations lie in random matrix theory (RMT). The problem is the following : having a set of d time series, and N observations, if...