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

DOI10.1016/J.SPL.2012.06.025MaRDI QIDQ712509zbMATH OpenOpenAlexWikidataFDO

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

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)

Recommendations

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• On robustifying some second order blind source separation methods for nonstationary time series
• On statistical properties of blind source separation methods based on joint diagonalization

Cites work

• scientific article; zbMATH DE number 4102349 (Why is no real title available?)
• Characteristics of multivariate distributions and the invariant coordinate system
• Indeterminacy and identifiability of blind identification
• Multivariate versions of Bartlett's formula

Cited in

(15)

• A more efficient second order blind identification method for separation of uncorrelated stationary time series
• Deflation-based separation of uncorrelated stationary time series
• Stationary subspace analysis based on second-order statistics
• 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

Describes a project that uses

Uses Software

• ICALAB
• JADE

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