A1 Vertaisarvioitu alkuperäisartikkeli tieteellisessä lehdessä
Extracting Conditionally Heteroskedastic Components using Independent Component Analysis
Tekijät: Miettinen J, Matilainen M, Nordhausen K, Taskinen S
Kustantaja: WILEY
Julkaisuvuosi: 2019
Journal: Journal of Time Series Analysis
Tietokannassa oleva lehden nimi: JOURNAL OF TIME SERIES ANALYSIS
Lehden akronyymi: J TIME SER ANAL
Vuosikerta: 41
Numero: 2
Aloitussivu: 293
Lopetussivu: 311
Sivujen määrä: 19
ISSN: 0143-9782
eISSN: 1467-9892
DOI: https://doi.org/10.1111/jtsa.12505
Rinnakkaistallenteen osoite: https://research.utu.fi/converis/portal/detail/Publication/42542470
In the independent component model, the multivariate data are assumed to be a mixture of mutually independent latent components. The independent component analysis (ICA) then aims at estimating these latent components. In this article, we study an ICA method which combines the use of linear and quadratic autocorrelations to enable efficient estimation of various kinds of stationary time series. Statistical properties of the estimator are studied by finding its limiting distribution under general conditions, and the asymptotic variances are derived in the case of ARMA-GARCH model. We use the asymptotic results and a finite sample simulation study to compare different choices of a weight coefficient. As it is often of interest to identify all those components which exhibit stochastic volatility features we suggest a test statistic for this problem. We also show that a slightly modified version of the principal volatility component analysis can be seen as an ICA method. Finally, we apply the estimators in analysing a data set which consists of time series of exchange rates of seven currencies to US dollar. Supporting information including proofs of the theorems is available online.
Ladattava julkaisu This is an electronic reprint of the original article. |  |
