Statistical properties of a blind source separation estimator for stationary time series

DOI10.1016/J.SPL.2012.06.025zbMATH Open1312.62110OpenAlexW2018119392WikidataQ109772832 ScholiaQ109772832MaRDI QIDQ712509FDOQ712509

Authors: Klaus Nordhausen, Hannu Oja, Sara Taskinen, Jari Miettinen 

Publication date: 17 October 2012

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

Full work available at URL: https://doi.org/10.1016/j.spl.2012.06.025

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zbMATH Keywords

asymptotic normalityminimum distance indexAMUSEautocovariance matrixMA(\(\infty\)) processes

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Estimation in multivariate analysis (62H12)

Cites Work

• Title not available (Why is that?)
• Characteristics of multivariate distributions and the invariant coordinate system
• Multivariate versions of Bartlett's formula
• Indeterminacy and identifiability of blind identification

Cited In (15)

• A more efficient second order blind identification method for separation of uncorrelated stationary time series
• Stationary subspace analysis based on second-order statistics
• Deflation-based separation of uncorrelated stationary time series
• Minimum distance index for complex valued ICA
• Blind source separation for spatial compositional data
• Extracting conditionally heteroskedastic components using independent component analysis
• New independent component analysis tools for time series
• Separation of uncorrelated stationary time series using autocovariance matrices
• Determining the signal dimension in second order source separation
• 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
• On robustifying some second order blind source separation methods for nonstationary time series
• Independent component analysis: a statistical perspective
• Robustifying independent component analysis by adjusting for group-wise stationary noise

Uses Software

• JADE
• ICALAB

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