ICA based identification of time-varying linear causal model

DOI10.11916/J.ISSN.1005-9113.17130MaRDI QIDQ3306534zbMATH OpenOpenAlexFDO

Authors Hongxia Chen, Jimin Ye

Publication date 12 August 2020

Full work available at URL http://hit.alljournals.cn/html/jhit_cn/2019/4/20190405.html

zbMATH Keywords

causality inferenceGranger causality testindependent component analysistime-varying causal model

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Linear regression; mixed models (62J05) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cited in

(1)

• TVICA -- time varying independent component analysis and its application to financial data

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