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

DOI10.1016/J.CSDA.2014.01.002zbMath1506.62039OpenAlexW2267270122MaRDI QIDQ1623451

Ray-Bing Chen, Ying Chen, Wolfgang Karl 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 homogeneitysequential testingportfolio risk analysis

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)

Related Items (3)

Estimation of volatility causality in structural autoregressions with heteroskedasticity using independent component analysis ⋮ A new way to order independent components ⋮ Sparse-group independent component analysis with application to yield curves prediction

Uses Software

• FastICA
• QRM
• CuBICA
• TVICA
• GHICA

Cites Work

• Unnamed Item
• Blind separation of sources. I: An adaptive algorithm based on neuromimetic architecture
• Independent component analysis, a new concept?
• Autoregressive conditional heteroskedasticity and changes in regime
• Principal component analysis.
• Statistical inference for time-inhomogeneous volatility models.
• Modelling long memory and structural breaks in conditional variances: an adaptive FIGARCH approach
• Applied Multivariate Statistical Analysis
• Independent Component Analysis Involving Autocorrelated Sources With an Application to Functional Magnetic Resonance Imaging
• Dynamic Orthogonal Components for Multivariate Time Series
• What is Projection Pursuit?
• Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling
• Empirical properties of asset returns: stylized facts and statistical issues
• CuBICA: Independent Component Analysis by Simultaneous Third- and Fourth-Order Cumulant Diagonalization

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