New independent component analysis tools for time series
DOI10.1016/J.SPL.2015.04.033zbMATH Open1396.62214OpenAlexW608794380WikidataQ109772925 ScholiaQ109772925MaRDI QIDQ894577FDOQ894577
Hannu Oja, Klaus Nordhausen, Markus Matilainen
Publication date: 1 December 2015
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spl.2015.04.033
Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
Cites Work
- Multivariate time series analysis. With R and financial applications
- Dynamic Orthogonal Components for Multivariate Time Series
- Measures of multivariate skewness and kurtosis with applications
- Fourth moments and independent component analysis
- Separation of uncorrelated stationary time series using autocovariance matrices
- Deflation-based separation of uncorrelated stationary time series
- Statistical properties of a blind source separation estimator for stationary time series
- Portfolio value at risk based on independent component analysis
- On the Ghurye-Olkin-Zinger theorem
- On Invariant Coordinate System (ICS) Functionals
Cited In (11)
- Extracting Conditionally Heteroskedastic Components using Independent Component Analysis
- Independent component ordering in ICA time series analysis.
- Independent component analysis for multivariate functional data
- Stationary subspace analysis based on second-order statistics
- Sliced average variance estimation for multivariate time series
- Title not available (Why is that?)
- Separation of uncorrelated stationary time series using autocovariance matrices
- On the usage of joint diagonalization in multivariate statistics
- Blind source separation for compositional time series
- 10.1162/jmlr.2003.4.7-8.1205
- Independent component analysis: a statistical perspective
Uses Software
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