New independent component analysis tools for time series

被引：26

作者：

Matilainen, Markus ^{[1
]}

Nordhausen, Klaus ^{[1
]}

Oja, Hannu ^{[1
]}

机构：

[1] 20014 Univ Turku, Dept Math & Stat, Turku, Finland

来源：

STATISTICS & PROBABILITY LETTERS | 2015年 / 105卷

基金：

芬兰科学院;

关键词：

FOBI; GARCH; JADE; Multivariate statistics; SOBl; Stochastic volatility; SEPARATION;

D O I：

10.1016/j.spl.2015.04.033

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

Independent component analysis is a popular approach in search of latent variables and structures in high-dimensional data. We propose extensions of classical FOBI and JADE estimates for multivariate time series, with a special focus on time series with stochastic volatility. (C) 2015 Elsevier B.V. All rights reserved.

引用

页码：80 / 87

页数：8

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