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

DOI10.1016/J.CSDA.2014.01.002MaRDI QIDQ1623451zbMATH OpenOpenAlexFDO

Authors Ray-Bing Chen, Ying Chen, Wolfgang K. Härdle

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 methodslocal homogeneityportfolio risk analysissequential testing

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• Applied multivariate statistical analysis
• Autoregressive conditional heteroskedasticity and changes in regime
• Blind separation of sources. I: An adaptive algorithm based on neuromimetic architecture
• CuBICA: Independent Component Analysis by Simultaneous Third- and Fourth-Order Cumulant Diagonalization
• Dynamic orthogonal components for multivariate time series
• Empirical properties of asset returns: stylized facts and statistical issues
• scientific article; zbMATH DE number 2231189 (Why is no real title available?)
• Independent component analysis involving autocorrelated sources with an application to functional magnetic resonance imaging
• Independent component analysis, a new concept?
• Modelling long memory and structural breaks in conditional variances: an adaptive FIGARCH approach
• Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling
• Principal component analysis.
• Statistical inference for time-inhomogeneous volatility models.
• What is Projection Pursuit?

Cited in

(7)

• Sparse-group independent component analysis with application to yield curves prediction
• Estimation of volatility causality in structural autoregressions with heteroskedasticity using independent component analysis
• A copula based ICA algorithm and its application to time series clustering
• ICA based identification of time-varying linear causal model
• scientific article; zbMATH DE number 2154389 (Why is no real title available?)
• A new way to order independent components
• New independent component analysis tools for time series

Describes a project that uses

Uses Software

• FastICA
• QRM
• CuBICA
• TVICA
• GHICA

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