A1 Journal article – refereed
New independent component analysis tools for time series




List of Authors: Markus Matilainen, Klaus Nordhausen, Hannu Oja
Publisher: Elsevier
Publication year: 2015
Journal: Statistics and Probability Letters
Volume number: 105

Abstract


Independent component analysis is a popular approach in search of latent variables and structures in high-dimensional data. We propose extensions of classical FOBI and JADE estimates for multivariate time series, with a special focus on time series with stochastic volatility.



Last updated on 2019-20-07 at 16:27