Separation of Uncorrelated Stationary time series using Autocovariance Matrices
From MaRDI portal
Publication:2802912
DOI10.1111/jtsa.12159zbMath1381.62250arXiv1405.3388OpenAlexW1910190001WikidataQ59682307 ScholiaQ59682307MaRDI QIDQ2802912
Jari Petteri Miettinen, Fabian J. Theis, Sara Taskinen, Klaus Nordhausen, Katrin Illner, Hannu Oja
Publication date: 3 May 2016
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1405.3388
Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
Related Items
A more efficient second order blind identification method for separation of uncorrelated stationary time series, Sampling properties of color independent component analysis, Unnamed Item, Blind source separation for spatial compositional data, Stationary subspace analysis based on second-order statistics, New independent component analysis tools for time series, Extracting Conditionally Heteroskedastic Components using Independent Component Analysis, Time Series Source Separation Using Dynamic Mode Decomposition, Blind source separation for compositional time series, Sliced average variance estimation for multivariate time series, On the usage of joint diagonalization in multivariate statistics, Modeling temporally uncorrelated components of complex-valued stationary processes, Fourth moments and independent component analysis
Uses Software
Cites Work
- Consistent noisy independent component analysis
- Deflation-based separation of uncorrelated stationary time series
- Characteristics of multivariate distributions and the invariant coordinate system
- Semiparametrically efficient inference based on signed ranks in symmetric independent component models
- Statistical properties of a blind source separation estimator for stationary time series
- Independent component analysis via nonparametric maximum likelihood estimation
- Blind source separation for spatial compositional data
- New independent component analysis tools for time series
- Time series: theory and methods.
- Dynamic factor models with infinite-dimensional factor spaces: one-sided representations
- Portfolio value at risk based on independent component analysis
- Efficient independent component analysis
- A stochastic algorithm for probabilistic independent component analysis
- On robustifying some second order blind source separation methods for nonstationary time series
- Independent Component Analysis Involving Autocorrelated Sources With an Application to Functional Magnetic Resonance Imaging
- Dynamic Orthogonal Components for Multivariate Time Series
- R-Estimation for Asymmetric Independent Component Analysis
- Determining the Number of Factors in Approximate Factor Models
