tsBSS (Q54104)
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Blind Source Separation and Supervised Dimension Reduction for Time Series
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | tsBSS |
Blind Source Separation and Supervised Dimension Reduction for Time Series |
Statements
expanded from: GPL (≥ 2) (English)
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Christophe Croux
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Hannu Oja
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2 April 2026
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Different estimators are provided to solve the blind source separation problem for multivariate time series with stochastic volatility and supervised dimension reduction problem for multivariate time series. Different functions based on AMUSE and SOBI are also provided for estimating the dimension of the white noise subspace. The package is fully described in Nordhausen, Matilainen, Miettinen, Virta and Taskinen (2021) <doi:10.18637/jss.v098.i15>.
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