Curse of Dimensionality

From Open Risk Manual


Curse of Dimensionality refers to a phenomenon that may occur in the probabilistic / statistical modelling when the dimensionality of the mathematic space spanned by the random variables defining the problem is large, leading to an exponential growth of the possible combination of states. This may prevent the possibility to compute accurate metrics, or, in the case of estimating a statistical model, to inordinately large amounts of required data

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