New independent component analysis tools for time series



: Markus Matilainen, Klaus Nordhausen, Hannu Oja

Publisher: Elsevier

: 2015

: Statistics and Probability Letters

: 105

: 80

: 87

: 8

: 0167-7152

DOI: https://doi.org/10.1016/j.spl.2015.04.033(external)

: http://www.sciencedirect.com/science/article/pii/S0167715215001868(external)


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 2024-26-11 at 11:46