New independent component analysis tools for time series
DOI10.1016/J.SPL.2015.04.033zbMATH Open1396.62214OpenAlexW608794380WikidataQ109772925 ScholiaQ109772925MaRDI QIDQ894577FDOQ894577
Authors: Markus Matilainen, Klaus Nordhausen, Hannu Oja 
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
Recommendations
- Extracting conditionally heteroskedastic components using independent component analysis
- Independent component analysis: recent advances
- Independent component ordering in ICA time series analysis.
- TVICA -- time varying independent component analysis and its application to financial data
- Outliers Detection in Multivariate Time Series by Independent Component Analysis
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 (14)
- Independent component ordering in ICA time series analysis.
- TVICA -- time varying independent component analysis and its application to financial data
- Independent component analysis for multivariate functional data
- Stationary subspace analysis based on second-order statistics
- Deflation-based separation of uncorrelated stationary time series
- Sliced average variance estimation for multivariate time series
- Title not available (Why is that?)
- Independent Process Analysis Without a Priori Dimensional Information
- Extracting conditionally heteroskedastic components using independent component analysis
- 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
This page was built for publication: New independent component analysis tools for time series
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q894577)
