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Found 2 papers, 1 papers with code
Efficient structure learning with automatic sparsity selection for causal graph processes
We propose a novel algorithm for efficiently computing a sparse directed adjacency matrix from a group of time series following a causal graph process.
A Fast Algorithm for Computing High-dimensional Risk Parity Portfolios
In this paper we propose a cyclical coordinate descent (CCD) algorithm for solving high dimensional risk parity problems.
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