Sparse-group independent component analysis with application to yield curves prediction

DOI10.1016/j.csda.2018.08.027OpenAlexW2893476104MaRDI QIDQ1727895

Linlin Niu, Ray-Bing Chen, Qiang He, Ying Chen

Publication date: 21 February 2019

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2018.08.027

zbMATH Keywords

regularized dimension reductionstatistically independent factoryield curve prediction

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Uses Software

• FastICA
• ISLR
• TVICA

Cites Work

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