A more efficient second order blind identification method for separation of uncorrelated stationary time series

DOI10.1016/j.spl.2016.04.007zbMath1419.62251OpenAlexW2338926067WikidataQ109744821 ScholiaQ109744821MaRDI QIDQ297132

Sara Taskinen, Klaus Nordhausen, Jari Petteri Miettinen

Publication date: 24 June 2016

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: http://urn.fi/URN:NBN:fi:jyu-201605172593

zbMATH Keywords

asymptotic normalitylinear processaffine equivariancejoint diagonalizationminimum distance indexSOBI

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

Related Items (3)

Stationary subspace analysis based on second-order statistics ⋮ Extracting Conditionally Heteroskedastic Components using Independent Component Analysis ⋮ On the usage of joint diagonalization in multivariate statistics

Uses Software

• R
• FastICA
• JADE
• BSSasymp
• AS 211

Cites Work

• Deflation-based separation of uncorrelated stationary time series
• Statistical properties of a blind source separation estimator for stationary time series
• Separation of Uncorrelated Stationary time series using Autocovariance Matrices
• Modern Nonparametric, Robust and Multivariate Methods

This page was built for publication: A more efficient second order blind identification method for separation of uncorrelated stationary time series