Extracting conditionally heteroskedastic components using independent component analysis

DOI10.1111/JTSA.12505zbMATH Open1447.62104arXiv1811.10963OpenAlexW2902232607WikidataQ96168769 ScholiaQ96168769MaRDI QIDQ5111846FDOQ5111846

Markus Matilainen, Klaus Nordhausen, Sara Taskinen, Jari Miettinen

Publication date: 27 May 2020

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Abstract: In the independent component model, the multivariate data is assumed to be a mixture of mutually independent latent components, and in independent component analysis (ICA) the aim is to estimate these latent components. In this paper we study an ICA method which combines the use of linear and quadratic autocorrelations in order to enable efficient estimation of various kinds of stationary time series. Statistical properties of the estimator are studied by finding its limiting distribution under general conditions, and the asymptotic variances are derived in the case of ARMA-GARCH model. We use the asymptotic results and a finite sample simulation study to compare different choices of a weight coefficient. As it is often of interest to identify all those components which exhibit stochastic volatility features we also suggest a test statistic for this problem. We also show that a slightly modified version of principal volatility components (PVC) can be seen as an ICA method. Finally, we apply the estimators in analyzing a data set which consists of time series of exchange rates of seven currencies to US dollar. Supplementary material including proofs of the theorems is available online.

Full work available at URL: https://arxiv.org/abs/1811.10963

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zbMATH Keywords

asymptotic normalityautocorrelationblind source separationARMA-GARCH processprincipal volatility component

Mathematics Subject Classification ID

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) Economic time series analysis (91B84) Stationary stochastic processes (60G10)

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Cited In (8)

• Investigation on the skewness for independent component analysis
• Large-sample properties of non-stationary source separation for Gaussian signals
• Stationary subspace analysis based on second-order statistics
• Title not available (Why is that?)
• On the usage of joint diagonalization in multivariate statistics
• Blind source separation for compositional time series
• Modeling temporally uncorrelated components of complex-valued stationary processes
• A complete VARMA modelling methodology based on scalar components

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