A1 Vertaisarvioitu alkuperäisartikkeli tieteellisessä lehdessä
Statistical properties of a blind source separation estimator for stationary time series
Tekijät: Miettinen J, Nordhausen K, Oja H, Taskinen S
Kustantaja: ELSEVIER SCIENCE BV
Julkaisuvuosi: 2012
Journal: Statistics and Probability Letters
Tietokannassa oleva lehden nimi: STATISTICS & PROBABILITY LETTERS
Lehden akronyymi: STAT PROBABIL LETT
Vuosikerta: 82
Numero: 11
Aloitussivu: 1865
Lopetussivu: 1873
Sivujen määrä: 9
ISSN: 0167-7152
DOI: https://doi.org/10.1016/j.spl.2012.06.025
Tiivistelmä
In this paper, we assume that the observed p time series are linear combinations of p latent uncorrelated weakly stationary time series. The problem is then, using the observed p-variate time series, to find an estimate for a mixing or unmixing matrix for the combinations. The estimated uncorrelated time series may then have nice interpretations and can be used in a further analysis. The popular AMUSE algorithm finds an estimate of an unmixing matrix using covariances and autocovariances of the observed time series. In this paper, we derive the limiting distribution of the AMUSE estimator under general conditions, and show how the results can be used for the comparison of estimates. The exact formula for the limiting covariance matrix of the AMUSE estimate is given for general MA(infinity) processes. (C) 2012 Elsevier B.V. All rights reserved.
In this paper, we assume that the observed p time series are linear combinations of p latent uncorrelated weakly stationary time series. The problem is then, using the observed p-variate time series, to find an estimate for a mixing or unmixing matrix for the combinations. The estimated uncorrelated time series may then have nice interpretations and can be used in a further analysis. The popular AMUSE algorithm finds an estimate of an unmixing matrix using covariances and autocovariances of the observed time series. In this paper, we derive the limiting distribution of the AMUSE estimator under general conditions, and show how the results can be used for the comparison of estimates. The exact formula for the limiting covariance matrix of the AMUSE estimate is given for general MA(infinity) processes. (C) 2012 Elsevier B.V. All rights reserved.
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