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

DOI10.1016/j.csda.2014.01.002zbMath1506.62039MaRDI QIDQ1623451

Ray-Bing Chen, Wolfgang Karl Härdle, Ying Chen

Publication date: 23 November 2018

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

Full work available at URL: https://doi.org/10.1016/j.csda.2014.01.002

zbMATH Keywords

adaptive methods; local homogeneity; sequential testing; portfolio risk analysis

Mathematics Subject Classification ID

62-08: Computational methods for problems pertaining to statistics

62H25: Factor analysis and principal components; correspondence analysis

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62P05: Applications of statistics to actuarial sciences and financial mathematics

Uses Software

• FastICA
• QRM
• CuBICA
• TVICA
• GHICA