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Quantitative Finance · Glosarium

Apa itu Orthogonalisation, symmetric orthogonalisation?

Dikenal juga sebagai: orthogonalisation · symmetric orthogonalisation

Definition 14.6 Research Craft: Predictors, Backtests, Measurement, Portfolios · Bab 14 — Signal Combination

Orthogonalisation transforms a set of signals, on each date, into uncorrelated ones spanning the same space: sequentially (Gram–Schmidt), each signal residualised on those before it, so that the order decides who keeps the shared part; or by symmetric orthogonalisation, ZS−1/2Z S^{-1/2} with SS the signals’ correlation matrix, the orthonormal set closest to the original signals, a construction that goes back to Löwdin’s orthonormalisation of overlapping atomic orbitals (1950).

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