Identifying structural VAR model with latent variables using overcomplete ICA

MaRDI QIDQ4650015zbMATH OpenFDO

Authors

Publication date 15 November 2012

Full work available at URL http://www.pphmj.com/abstract/6971.htm

zbMATH Keywords

directed acyclic graphindependent component analysislatent variablestructural vector autoregression

Mathematics Subject Classification ID

Software, source code, etc. for problems pertaining to statistics (62-04) Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cited in

(2)

• Identification of structural VAR models via independent component analysis: a performance evaluation study
• Statistical inference for independent component analysis: application to structural VAR models

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