New independent component analysis tools for time series

DOI10.1016/J.SPL.2015.04.033MaRDI QIDQ894577zbMATH OpenOpenAlexWikidataFDO

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

zbMATH Keywords

JADEGARCHmultivariate statisticsFOBIstochastic volatilitySOBI

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• Deflation-based separation of uncorrelated stationary time series
• Dynamic orthogonal components for multivariate time series
• Fourth moments and independent component analysis
• Measures of multivariate skewness and kurtosis with applications
• Multivariate time series analysis. With R and financial applications
• On invariant coordinate system (ICS) functionals
• On the Ghurye-Olkin-Zinger theorem
• Portfolio value at risk based on independent component analysis
• Separation of uncorrelated stationary time series using autocovariance matrices
• Statistical properties of a blind source separation estimator for stationary time series

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
• Deflation-based separation of uncorrelated stationary time series
• Stationary subspace analysis based on second-order statistics
• Sliced average variance estimation for multivariate time series
• scientific article; zbMATH DE number 6262638 (Why is no real title available?)
• 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

Describes a project that uses

Uses Software

• GHICA
• JADE
• fGarch
• RMetrics
• R

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